Trend-Following Backtester · Guide · backtest 한국어
equity · US
Green Brick Partners, Inc. backtest
10 trend-following strategies were compared on the full daily history of Green Brick Partners, Inc.. 10 beat buy-and-hold CAGR; Supertrend ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is ADX / DI 방향성 (CAGR 17.1%, MDD -57.3%).
Results by strategy
10 of 10 beat buy and hold (CAGR -3.2%, drawdown -99.4%).
Sharpe leader (same as main): Supertrend — CAGR 31.0%, MDD -62.7%, Sharpe 0.68, 51% exposure.
Return/drawdown alternative: ADX / DI 방향성 — CAGR is 34.2%p higher than buy and hold, while drawdown improves by 36.7%p (CAGR 17.1%, MDD -57.3%, exposure 5%).
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=20, mult=3.2 |
31.0% | -62.7% | 0.68 | 0.49 | 178.5x | 84 | 51% |
| SMA 크로스오버 fast=35, slow=45 |
26.5% | -72.2% | 0.63 | 0.37 | 91.4x | 118 | 53% |
| Donchian 채널 돌파 entryN=27, exitN=34 |
23.7% | -70.2% | 0.60 | 0.34 | 59.5x | 55 | 58% |
| 볼린저 밴드 돌파 n=60, k=1.2 |
18.6% | -63.2% | 0.53 | 0.29 | 26.3x | 92 | 42% |
| ADX / DI 방향성 period=20, threshold=38 |
17.1% | -57.3% | 0.50 | 0.30 | 20.8x | 14 | 5% |
| Keltner 채널 돌파 emaPeriod=50, atrPeriod=14, mult=1 |
15.7% | -72.6% | 0.49 | 0.22 | 16.5x | 132 | 42% |
| EMA 크로스오버 fast=19, slow=56 |
14.6% | -77.0% | 0.48 | 0.19 | 13.7x | 69 | 53% |
| Parabolic SAR step=0.005, maxStep=0.3 |
14.7% | -75.4% | 0.48 | 0.20 | 14.0x | 148 | 48% |
| ROC 모멘텀 n=47, threshold=0.04 |
13.8% | -70.2% | 0.47 | 0.20 | 12.0x | 232 | 46% |
| MACD fast=17, slow=57, signal=21 |
0.5% | -95.8% | 0.35 | 0.01 | 1.1x | 187 | 53% |
| Buy and hold | -3.2% | -99.4% | 0.40 | -0.03 | 0.5x | 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) — 20-day volatility, 3.2× band
- Sell — Sell when price drops below the trend line (flips down)