Trend-Following Backtester · Guide · backtest 한국어
equity · US
Brady Corporation backtest
10 trend-following strategies were compared on the full daily history of Brady Corporation. 0 beat buy-and-hold CAGR; ROC 모멘텀 ranks first by Sharpe, matching the main backtester.
Results by strategy
0 of 10 beat buy and hold (CAGR 8.7%, drawdown -66.6%).
Sharpe leader (same as main): ROC 모멘텀 — CAGR 4.6%, MDD -67.1%, Sharpe 0.30, 88% exposure.
No strategy retained at least 75% of buy-and-hold CAGR while reducing drawdown by both 20% relatively and 5 percentage points absolutely.
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 |
|---|---|---|---|---|---|---|---|
| ROC 모멘텀 n=43, threshold=-0.11 |
4.6% | -67.1% | 0.30 | 0.07 | 6.0x | 261 | 88% |
| Donchian 채널 돌파 entryN=17, exitN=76 |
4.4% | -71.9% | 0.29 | 0.06 | 5.5x | 125 | 83% |
| Supertrend period=12, mult=3.3 |
2.4% | -75.8% | 0.22 | 0.03 | 2.6x | 223 | 59% |
| SMA 크로스오버 fast=31, slow=91 |
2.4% | -56.1% | 0.22 | 0.04 | 2.6x | 139 | 62% |
| MACD fast=33, slow=77, signal=34 |
0.3% | -80.1% | 0.14 | 0.00 | 1.1x | 235 | 50% |
| EMA 크로스오버 fast=45, slow=99 |
-0.0% | -78.5% | 0.13 | -0.00 | 1.0x | 99 | 65% |
| ADX / DI 방향성 period=38, threshold=37 |
0.2% | -4.3% | 0.12 | 0.05 | 1.1x | 2 | 0% |
| Parabolic SAR step=0.005, maxStep=0.22 |
-0.4% | -86.7% | 0.11 | -0.00 | 0.9x | 309 | 58% |
| Keltner 채널 돌파 emaPeriod=18, atrPeriod=7, mult=3.9 |
0.2% | -22.0% | 0.06 | 0.01 | 1.1x | 14 | 2% |
| 볼린저 밴드 돌파 n=49, k=3.4 |
0.0% | -59.9% | 0.05 | 0.00 | 1.0x | 50 | 11% |
| Buy and hold | 8.7% | -66.6% | 0.41 | 0.13 | 27.5x | 1 | 100% |
Rules of the top strategy
Rides the trend when recent return (momentum) over a window is above a threshold.
- Buy — Buy when the last 43-day return is greater than -11%
- Sell — Sell when the 43-day return drops to -11% or below