Trend-Following Backtester · Guide · backtest 한국어
equity · US
Pathward Financial, Inc. backtest
10 trend-following strategies were compared on the full daily history of Pathward Financial, Inc.. 5 beat buy-and-hold CAGR; Donchian 채널 돌파 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is Donchian 채널 돌파 (CAGR 12.3%, MDD -38.8%).
Results by strategy
5 of 10 beat buy and hold (CAGR 10.2%, drawdown -84.3%).
Sharpe leader (same as main): Donchian 채널 돌파 — CAGR 12.3%, MDD -38.8%, Sharpe 0.62, 46% exposure.
CAGR reference leader: ROC 모멘텀 — CAGR 14.8%, MDD -46.4%, exposure 75%.
Return/drawdown alternative: Donchian 채널 돌파 — CAGR is 2.1%p higher than buy and hold, while drawdown improves by 45.5%p (CAGR 12.3%, MDD -38.8%, exposure 46%).
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=67, exitN=30 |
12.3% | -38.8% | 0.62 | 0.32 | 45.5x | 76 | 46% |
| ROC 모멘텀 n=126, threshold=-0.07 |
14.8% | -46.4% | 0.61 | 0.32 | 95.2x | 186 | 75% |
| Supertrend period=18, mult=4.9 |
13.5% | -49.7% | 0.61 | 0.27 | 64.0x | 100 | 57% |
| SMA 크로스오버 fast=21, slow=71 |
12.2% | -46.5% | 0.57 | 0.26 | 44.5x | 121 | 60% |
| EMA 크로스오버 fast=35, slow=81 |
11.2% | -57.2% | 0.53 | 0.19 | 32.6x | 64 | 63% |
| 볼린저 밴드 돌파 n=76, k=2.3 |
8.7% | -49.6% | 0.49 | 0.17 | 15.4x | 94 | 39% |
| ADX / DI 방향성 period=28, threshold=20 |
6.9% | -32.8% | 0.46 | 0.21 | 9.0x | 122 | 28% |
| Keltner 채널 돌파 emaPeriod=58, atrPeriod=18, mult=2.7 |
5.7% | -61.8% | 0.36 | 0.09 | 6.2x | 148 | 42% |
| Parabolic SAR step=0.015, maxStep=0.22 |
-1.3% | -84.5% | 0.10 | -0.01 | 0.7x | 506 | 52% |
| MACD fast=21, slow=34, signal=22 |
-1.9% | -96.1% | 0.08 | -0.02 | 0.5x | 382 | 50% |
| Buy and hold | 10.2% | -84.3% | 0.44 | 0.12 | 24.7x | 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 67 days
- Sell — Sell when price breaks below the lowest low of the last 30 days