Trend-Following Backtester · Guide · backtest 한국어
equity · US
Beazer Homes USA, Inc. backtest
10 trend-following strategies were compared on the full daily history of Beazer Homes USA, Inc.. 10 beat buy-and-hold CAGR; Supertrend ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is Keltner 채널 돌파 (CAGR 5.4%, MDD -67.9%).
Results by strategy
10 of 10 beat buy and hold (CAGR 0.2%, drawdown -99.7%).
Sharpe leader (same as main): Supertrend — CAGR 10.3%, MDD -71.4%, Sharpe 0.44, 51% exposure.
Return/drawdown alternative: Keltner 채널 돌파 — CAGR is 10.1%p higher than buy and hold, while drawdown improves by 28.3%p (CAGR 5.4%, MDD -67.9%, exposure 28%).
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 |
|---|---|---|---|---|---|---|---|
| Supertrend period=9, mult=3.8 |
10.3% | -71.4% | 0.44 | 0.14 | 24.1x | 179 | 51% |
| 볼린저 밴드 돌파 n=27, k=1.3 |
9.5% | -73.3% | 0.43 | 0.13 | 19.1x | 311 | 39% |
| MACD fast=22, slow=67, signal=18 |
7.0% | -92.2% | 0.37 | 0.08 | 9.1x | 285 | 53% |
| EMA 크로스오버 fast=11, slow=27 |
5.9% | -69.6% | 0.34 | 0.08 | 6.4x | 261 | 51% |
| SMA 크로스오버 fast=18, slow=118 |
5.8% | -74.4% | 0.34 | 0.08 | 6.3x | 93 | 52% |
| Keltner 채널 돌파 emaPeriod=39, atrPeriod=15, mult=2.6 |
5.4% | -67.9% | 0.33 | 0.08 | 5.6x | 147 | 28% |
| Donchian 채널 돌파 entryN=22, exitN=60 |
4.4% | -90.6% | 0.31 | 0.05 | 4.0x | 107 | 70% |
| Parabolic SAR step=0.005, maxStep=0.36 |
4.2% | -82.1% | 0.30 | 0.05 | 3.8x | 261 | 50% |
| ADX / DI 방향성 period=11, threshold=13 |
3.1% | -83.2% | 0.27 | 0.04 | 2.7x | 745 | 49% |
| ROC 모멘텀 n=101, threshold=0.04 |
3.3% | -71.5% | 0.26 | 0.05 | 2.8x | 269 | 48% |
| Buy and hold | 0.2% | -99.7% | 0.30 | 0.00 | 1.1x | 1 | 100% |
Rules of the top strategy
Trades the direction of a volatility-based trend line that trails below/above price.
- Buy — Buy when price moves above the trend line (flips up) — 9-day volatility, 3.8× band
- Sell — Sell when price drops below the trend line (flips down)