Trend-Following Backtester · Guide · backtest 한국어
equity · US
Fulton Financial Corporation backtest
10 trend-following strategies were compared on the full daily history of Fulton Financial Corporation. 0 beat buy-and-hold CAGR; 볼린저 밴드 돌파 ranks first by Sharpe, matching the main backtester.
Results by strategy
0 of 10 beat buy and hold (CAGR 3.8%, drawdown -73.6%).
Sharpe leader (same as main): 볼린저 밴드 돌파 — CAGR 1.6%, MDD -31.3%, Sharpe 0.21, 10% exposure.
No strategy retained at least 75% of buy-and-hold CAGR while reducing drawdown by both 20% relatively and 5 percentage points absolutely.
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 |
|---|---|---|---|---|---|---|---|
| 볼린저 밴드 돌파 n=48, k=3.2 |
1.6% | -31.3% | 0.21 | 0.05 | 1.9x | 43 | 10% |
| ADX / DI 방향성 period=27, threshold=37 |
0.8% | -9.7% | 0.19 | 0.08 | 1.4x | 22 | 3% |
| Keltner 채널 돌파 emaPeriod=21, atrPeriod=24, mult=3.4 |
0.6% | -19.8% | 0.13 | 0.03 | 1.3x | 32 | 4% |
| SMA 크로스오버 fast=42, slow=71 |
0.0% | -76.2% | 0.12 | 0.00 | 1.0x | 157 | 55% |
| ROC 모멘텀 n=98, threshold=-0.15 |
-0.8% | -86.5% | 0.12 | -0.01 | 0.7x | 177 | 89% |
| Donchian 채널 돌파 entryN=26, exitN=96 |
-1.2% | -79.8% | 0.10 | -0.01 | 0.6x | 101 | 79% |
| MACD fast=36, slow=43, signal=52 |
-0.7% | -71.0% | 0.09 | -0.01 | 0.8x | 253 | 50% |
| Supertrend period=14, mult=4.8 |
-1.0% | -71.4% | 0.07 | -0.01 | 0.7x | 105 | 55% |
| EMA 크로스오버 fast=47, slow=177 |
-1.4% | -68.9% | 0.05 | -0.02 | 0.6x | 79 | 58% |
| Parabolic SAR step=0.005, maxStep=0.24 |
-3.0% | -92.5% | -0.02 | -0.03 | 0.3x | 319 | 51% |
| Buy and hold | 3.8% | -73.6% | 0.28 | 0.05 | 4.6x | 1 | 100% |
Rules of the top strategy
Breaking above the upper band (average plus a multiple of volatility) signals a strong move up.
- Buy — Buy when the close breaks above the upper band of the 48-day average (3.2× volatility)
- Sell — Sell when the close falls back to the 48-day middle average