Trend-Following Backtester · Guide · backtest 한국어
equity · US
Brown & Brown, Inc. backtest
10 trend-following strategies were compared on the full daily history of Brown & Brown, 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 12.3%, MDD -41.2%).
Results by strategy
0 of 10 beat buy and hold (CAGR 14.0%, drawdown -56.3%).
Sharpe leader (same as main): SMA 크로스오버 — CAGR 12.3%, MDD -41.2%, Sharpe 0.60, 66% exposure.
Return/drawdown alternative: SMA 크로스오버 — CAGR is 1.8%p lower than buy and hold, while drawdown improves by 15.1%p (CAGR 12.3%, MDD -41.2%, exposure 66%).
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=20, slow=181 |
12.3% | -41.2% | 0.60 | 0.30 | 192.6x | 80 | 66% |
| Donchian 채널 돌파 entryN=83, exitN=100 |
10.5% | -44.0% | 0.53 | 0.24 | 92.7x | 45 | 60% |
| EMA 크로스오버 fast=49, slow=190 |
10.4% | -50.8% | 0.52 | 0.21 | 90.9x | 68 | 70% |
| Supertrend period=16, mult=5 |
7.6% | -45.5% | 0.44 | 0.17 | 27.6x | 117 | 55% |
| 볼린저 밴드 돌파 n=16, k=3.5 |
2.9% | -40.3% | 0.38 | 0.07 | 3.6x | 32 | 7% |
| ADX / DI 방향성 period=40, threshold=11 |
6.4% | -59.9% | 0.38 | 0.11 | 16.9x | 245 | 59% |
| ROC 모멘텀 n=147, threshold=0.01 |
6.4% | -67.2% | 0.38 | 0.10 | 17.0x | 350 | 64% |
| Parabolic SAR step=0.005, maxStep=0.26 |
5.9% | -51.7% | 0.37 | 0.11 | 13.5x | 319 | 56% |
| Keltner 채널 돌파 emaPeriod=69, atrPeriod=19, mult=2.7 |
4.2% | -45.8% | 0.32 | 0.09 | 6.4x | 141 | 37% |
| MACD fast=33, slow=36, signal=32 |
2.5% | -75.6% | 0.22 | 0.03 | 3.1x | 357 | 50% |
| Buy and hold | 14.0% | -56.3% | 0.58 | 0.25 | 394.0x | 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 20-day average price crosses above the 181-day average
- Sell — Sell (to cash) when the 20-day average falls below the 181-day average