Trend-Following Backtester · Guide · backtest 한국어
equity · US
Brookfield Renewable Corporation backtest
10 trend-following strategies were compared on the full daily history of Brookfield Renewable Corporation. 8 beat buy-and-hold CAGR; 볼린저 밴드 돌파 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is 볼린저 밴드 돌파 (CAGR 10.7%, MDD -9.9%).
Results by strategy
8 of 10 beat buy and hold (CAGR 1.9%, drawdown -65.4%).
Sharpe leader (same as main): 볼린저 밴드 돌파 — CAGR 10.7%, MDD -9.9%, Sharpe 0.81, 16% exposure.
Return/drawdown alternative: 볼린저 밴드 돌파 — CAGR is 8.9%p higher than buy and hold, while drawdown improves by 55.5%p (CAGR 10.7%, MDD -9.9%, exposure 16%).
The alternative must retain 75% of buy-and-hold CAGR, improve drawdown by at least 20% and 5 percentage points, and stay below 95% exposure; the ranking weights return retention 60% and drawdown improvement 40%.
| Strategy · parameters | CAGR | MDD | Sharpe | Calmar | Total | Trades | Exposure |
|---|---|---|---|---|---|---|---|
| 볼린저 밴드 돌파 n=25, k=2.7 |
10.7% | -9.9% | 0.81 | 1.08 | 1.9x | 16 | 16% |
| Donchian 채널 돌파 entryN=34, exitN=10 |
9.1% | -20.3% | 0.59 | 0.45 | 1.7x | 30 | 26% |
| ADX / DI 방향성 period=33, threshold=33 |
4.5% | -12.5% | 0.57 | 0.36 | 1.3x | 2 | 4% |
| ROC 모멘텀 n=33, threshold=0.07 |
8.0% | -27.7% | 0.52 | 0.29 | 1.6x | 60 | 29% |
| MACD fast=9, slow=36, signal=6 |
8.7% | -30.3% | 0.48 | 0.29 | 1.7x | 112 | 50% |
| Keltner 채널 돌파 emaPeriod=16, atrPeriod=28, mult=1.5 |
5.5% | -20.8% | 0.41 | 0.27 | 1.4x | 46 | 25% |
| Parabolic SAR step=0.01, maxStep=0.2 |
7.2% | -35.6% | 0.40 | 0.20 | 1.5x | 82 | 52% |
| Supertrend period=11, mult=3.5 |
4.8% | -36.6% | 0.32 | 0.13 | 1.3x | 32 | 43% |
| EMA 크로스오버 fast=9, slow=45 |
1.0% | -50.4% | 0.16 | 0.02 | 1.1x | 38 | 44% |
| SMA 크로스오버 fast=20, slow=28 |
-2.3% | -54.0% | 0.03 | -0.04 | 0.9x | 61 | 50% |
| Buy and hold | 1.9% | -65.4% | 0.23 | 0.03 | 1.1x | 1 | 100% |
Rules of the top strategy
Breaking above the upper band (average plus a multiple of volatility) signals a strong move up.
- Buy — Buy when the close breaks above the upper band of the 25-day average (2.7× volatility)
- Sell — Sell when the close falls back to the 25-day middle average