Trend-Following Backtester · Guide · backtest 한국어
equity · US
Columbia Financial, Inc. backtest
10 trend-following strategies were compared on the full daily history of Columbia Financial, Inc.. 2 beat buy-and-hold CAGR; ADX / DI 방향성 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is Donchian 채널 돌파 (CAGR 6.8%, MDD -28.8%).
Results by strategy
2 of 10 beat buy and hold (CAGR 6.1%, drawdown -42.7%).
Sharpe leader (same as main): ADX / DI 방향성 — CAGR 3.1%, MDD -5.5%, Sharpe 0.65, 4% exposure.
CAGR reference leader: SMA 크로스오버 — CAGR 7.3%, MDD -31.1%, exposure 50%.
Return/drawdown alternative: Donchian 채널 돌파 — CAGR is 3.0%p lower than buy and hold, while drawdown improves by 37.1%p (CAGR 6.8%, MDD -28.8%, exposure 38%).
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 |
|---|---|---|---|---|---|---|---|
| ADX / DI 방향성 period=47, threshold=17 |
3.1% | -5.5% | 0.65 | 0.57 | 1.3x | 7 | 4% |
| Donchian 채널 돌파 entryN=54, exitN=33 |
6.8% | -28.8% | 0.49 | 0.24 | 1.7x | 15 | 38% |
| SMA 크로스오버 fast=53, slow=185 |
7.3% | -31.1% | 0.45 | 0.23 | 1.8x | 9 | 50% |
| Supertrend period=15, mult=5 |
5.3% | -46.3% | 0.37 | 0.11 | 1.5x | 17 | 45% |
| EMA 크로스오버 fast=28, slow=142 |
5.2% | -37.1% | 0.37 | 0.14 | 1.5x | 15 | 50% |
| 볼린저 밴드 돌파 n=77, k=2.1 |
3.2% | -38.0% | 0.31 | 0.08 | 1.3x | 19 | 30% |
| Keltner 채널 돌파 emaPeriod=55, atrPeriod=22, mult=3.9 |
1.8% | -29.6% | 0.24 | 0.06 | 1.2x | 11 | 17% |
| ROC 모멘텀 n=145, threshold=0.05 |
0.1% | -43.1% | 0.08 | 0.00 | 1.0x | 67 | 39% |
| MACD fast=19, slow=29, signal=18 |
-5.6% | -59.2% | -0.18 | -0.10 | 0.6x | 100 | 50% |
| Parabolic SAR step=0.01, maxStep=0.26 |
-6.0% | -67.5% | -0.19 | -0.09 | 0.6x | 113 | 54% |
| Buy and hold | 6.1% | -42.7% | 0.35 | 0.14 | 1.6x | 1 | 100% |
Rules of the top strategy
Looks at both the direction and the strength of the trend; holds only in a strong uptrend.
- Buy — Buy when up-direction (+DI) beats down-direction (−DI) and trend strength (ADX, 47-day) is ≥ 17
- Sell — Sell when direction flips or the trend weakens (ADX < 17)