Trend-Following Backtester · Guide · backtest 한국어
equity · US
Brookdale Senior Living Inc. backtest
10 trend-following strategies were compared on the full daily history of Brookdale Senior Living Inc.. 10 beat buy-and-hold CAGR; Donchian 채널 돌파 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is Keltner 채널 돌파 (CAGR 4.9%, MDD -43.1%).
Results by strategy
10 of 10 beat buy and hold (CAGR -3.7%, drawdown -96.7%).
Sharpe leader (same as main): Donchian 채널 돌파 — CAGR 13.0%, MDD -43.9%, Sharpe 0.56, 40% exposure.
Return/drawdown alternative: Keltner 채널 돌파 — CAGR is 16.7%p higher than buy and hold, while drawdown improves by 52.8%p (CAGR 4.9%, MDD -43.1%, exposure 18%).
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 |
|---|---|---|---|---|---|---|---|
| Donchian 채널 돌파 entryN=80, exitN=49 |
13.0% | -43.9% | 0.56 | 0.30 | 12.7x | 30 | 40% |
| ROC 모멘텀 n=109, threshold=0.13 |
11.8% | -50.4% | 0.56 | 0.23 | 10.1x | 130 | 35% |
| EMA 크로스오버 fast=41, slow=99 |
9.3% | -51.5% | 0.45 | 0.18 | 6.4x | 36 | 51% |
| SMA 크로스오버 fast=31, slow=169 |
7.3% | -49.2% | 0.39 | 0.15 | 4.4x | 34 | 50% |
| ADX / DI 방향성 period=38, threshold=16 |
6.2% | -43.8% | 0.38 | 0.14 | 3.5x | 74 | 26% |
| Supertrend period=19, mult=5 |
7.5% | -81.1% | 0.38 | 0.09 | 4.5x | 60 | 51% |
| Keltner 채널 돌파 emaPeriod=52, atrPeriod=12, mult=3.9 |
4.9% | -43.1% | 0.34 | 0.11 | 2.7x | 36 | 18% |
| 볼린저 밴드 돌파 n=18, k=2.5 |
4.0% | -65.2% | 0.29 | 0.06 | 2.3x | 106 | 16% |
| MACD fast=17, slow=64, signal=31 |
-0.6% | -86.3% | 0.17 | -0.01 | 0.9x | 188 | 50% |
| Parabolic SAR step=0.045, maxStep=0.28 |
-3.0% | -93.5% | 0.12 | -0.03 | 0.5x | 718 | 50% |
| Buy and hold | -3.7% | -96.7% | 0.22 | -0.04 | 0.5x | 1 | 100% |
Rules of the top strategy
A new high means a trend starting; a new low means it’s over (turtle-trading style).
- Buy — Buy on a breakout above the highest high of the last 80 days
- Sell — Sell when price breaks below the lowest low of the last 49 days