Trend-Following Backtester · Guide · backtest 한국어
equity · US
Brown Forman Inc backtest
10 trend-following strategies were compared on the full daily history of Brown Forman Inc. 0 beat buy-and-hold CAGR; SMA 크로스오버 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is SMA 크로스오버 (CAGR 9.1%, MDD -51.1%).
Results by strategy
0 of 10 beat buy and hold (CAGR 9.7%, drawdown -71.5%).
Sharpe leader (same as main): SMA 크로스오버 — CAGR 9.1%, MDD -51.1%, Sharpe 0.54, 73% exposure.
Return/drawdown alternative: SMA 크로스오버 — CAGR is 0.6%p lower than buy and hold, while drawdown improves by 20.4%p (CAGR 9.1%, MDD -51.1%, exposure 73%).
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 |
|---|---|---|---|---|---|---|---|
| SMA 크로스오버 fast=71, slow=378 |
9.1% | -51.1% | 0.54 | 0.18 | 102.3x | 28 | 73% |
| EMA 크로스오버 fast=77, slow=265 |
8.3% | -47.5% | 0.50 | 0.17 | 69.1x | 38 | 74% |
| Donchian 채널 돌파 entryN=9, exitN=74 |
7.9% | -71.2% | 0.45 | 0.11 | 56.7x | 189 | 89% |
| MACD fast=19, slow=28, signal=15 |
4.4% | -50.5% | 0.34 | 0.09 | 9.7x | 663 | 51% |
| Supertrend period=20, mult=4.9 |
4.4% | -75.3% | 0.33 | 0.06 | 10.2x | 309 | 56% |
| ROC 모멘텀 n=143, threshold=-0.02 |
4.1% | -74.4% | 0.31 | 0.06 | 8.6x | 407 | 68% |
| Parabolic SAR step=0.005, maxStep=0.28 |
3.7% | -71.7% | 0.30 | 0.05 | 6.9x | 405 | 54% |
| ADX / DI 방향성 period=38, threshold=27 |
1.5% | -23.8% | 0.27 | 0.06 | 2.3x | 46 | 9% |
| Keltner 채널 돌파 emaPeriod=48, atrPeriod=15, mult=2.3 |
2.5% | -61.7% | 0.24 | 0.04 | 3.7x | 335 | 44% |
| 볼린저 밴드 돌파 n=25, k=3.3 |
1.1% | -30.4% | 0.21 | 0.03 | 1.7x | 76 | 7% |
| Buy and hold | 9.7% | -71.5% | 0.49 | 0.14 | 139.0x | 1 | 100% |
Rules of the top strategy
When the short average rises above the long average, it reads that as an uptrend starting.
- Buy — Buy when the 71-day average price crosses above the 378-day average
- Sell — Sell (to cash) when the 71-day average falls below the 378-day average