Trend-Following Backtester · Guide · backtest 한국어
equity · US
Berkshire Hathaway Inc. backtest
10 trend-following strategies were compared on the full daily history of Berkshire Hathaway Inc.. 0 beat buy-and-hold CAGR; Donchian 채널 돌파 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is EMA 크로스오버 (CAGR 14.0%, MDD -37.1%).
Results by strategy
0 of 10 beat buy and hold (CAGR 18.5%, drawdown -51.5%).
Sharpe leader (same as main): Donchian 채널 돌파 — CAGR 14.7%, MDD -43.8%, Sharpe 0.84, 82% exposure.
Return/drawdown alternative: EMA 크로스오버 — CAGR is 3.8%p lower than buy and hold, while drawdown improves by 7.7%p (CAGR 14.0%, MDD -37.1%, exposure 82%).
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=22, exitN=60 |
14.7% | -43.8% | 0.84 | 0.34 | 569.0x | 99 | 82% |
| SMA 크로스오버 fast=46, slow=135 |
13.9% | -39.2% | 0.84 | 0.36 | 423.9x | 71 | 72% |
| EMA 크로스오버 fast=41, slow=254 |
14.0% | -37.1% | 0.81 | 0.38 | 429.6x | 35 | 82% |
| 볼린저 밴드 돌파 n=68, k=1.9 |
10.0% | -44.9% | 0.77 | 0.22 | 83.5x | 157 | 48% |
| ROC 모멘텀 n=120, threshold=-0.01 |
10.7% | -63.5% | 0.68 | 0.17 | 111.5x | 305 | 75% |
| ADX / DI 방향성 period=40, threshold=31 |
4.8% | -28.1% | 0.68 | 0.17 | 8.8x | 28 | 14% |
| Supertrend period=8, mult=5 |
9.8% | -53.1% | 0.66 | 0.18 | 75.1x | 185 | 62% |
| Keltner 채널 돌파 emaPeriod=69, atrPeriod=16, mult=3.2 |
8.3% | -50.5% | 0.65 | 0.16 | 39.6x | 171 | 47% |
| Parabolic SAR step=0.005, maxStep=0.08 |
7.8% | -58.8% | 0.55 | 0.13 | 32.1x | 359 | 58% |
| MACD fast=18, slow=55, signal=19 |
3.0% | -79.8% | 0.28 | 0.04 | 4.0x | 493 | 48% |
| Buy and hold | 18.5% | -51.5% | 0.87 | 0.36 | 2630.2x | 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 22 days
- Sell — Sell when price breaks below the lowest low of the last 60 days