Trend-Following Backtester · Guide · backtest 한국어
equity · US
BrightView Holdings, Inc. backtest
10 trend-following strategies were compared on the full daily history of BrightView Holdings, Inc.. 8 beat buy-and-hold CAGR; SMA 크로스오버 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is Keltner 채널 돌파 (CAGR 0.9%, MDD -8.7%).
Results by strategy
8 of 10 beat buy and hold (CAGR -6.0%, drawdown -77.4%).
Sharpe leader (same as main): SMA 크로스오버 — CAGR 9.5%, MDD -32.5%, Sharpe 0.50, 43% exposure.
CAGR reference leader: Supertrend — CAGR 10.0%, MDD -46.0%, exposure 46%.
Return/drawdown alternative: Keltner 채널 돌파 — CAGR is 15.5%p higher than buy and hold, while drawdown improves by 44.9%p (CAGR 0.9%, MDD -8.7%, exposure 2%).
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=21, slow=168 |
9.5% | -32.5% | 0.50 | 0.29 | 2.1x | 11 | 43% |
| Supertrend period=12, mult=4 |
10.0% | -46.0% | 0.48 | 0.22 | 2.2x | 23 | 46% |
| ROC 모멘텀 n=144, threshold=0.06 |
6.4% | -30.7% | 0.39 | 0.21 | 1.6x | 36 | 38% |
| 볼린저 밴드 돌파 n=40, k=3.2 |
4.3% | -28.2% | 0.37 | 0.15 | 1.4x | 10 | 14% |
| Donchian 채널 돌파 entryN=102, exitN=36 |
5.1% | -36.2% | 0.36 | 0.14 | 1.5x | 11 | 26% |
| EMA 크로스오버 fast=30, slow=122 |
3.9% | -44.7% | 0.28 | 0.09 | 1.4x | 15 | 42% |
| ADX / DI 방향성 period=24, threshold=21 |
3.1% | -24.2% | 0.27 | 0.13 | 1.3x | 26 | 14% |
| Keltner 채널 돌파 emaPeriod=12, atrPeriod=14, mult=3.1 |
0.9% | -8.7% | 0.20 | 0.10 | 1.1x | 4 | 2% |
| Parabolic SAR step=0.01, maxStep=0.22 |
-9.0% | -68.4% | -0.14 | -0.13 | 0.5x | 108 | 48% |
| MACD fast=14, slow=27, signal=17 |
-11.3% | -74.5% | -0.21 | -0.15 | 0.4x | 108 | 50% |
| Buy and hold | -6.0% | -77.4% | 0.09 | -0.08 | 0.6x | 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 21-day average price crosses above the 168-day average
- Sell — Sell (to cash) when the 21-day average falls below the 168-day average