Trend-Following Backtester · Guide · backtest 한국어
equity · US
Trustmark Corporation backtest
10 trend-following strategies were compared on the full daily history of Trustmark 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 8.4%, drawdown -56.1%).
Sharpe leader (same as main): 볼린저 밴드 돌파 — CAGR 1.5%, MDD -9.5%, Sharpe 0.53, 4% exposure.
CAGR reference leader: SMA 크로스오버 — CAGR 4.6%, MDD -63.1%, exposure 62%.
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=14, k=3.5 |
1.5% | -9.5% | 0.53 | 0.16 | 2.0x | 26 | 4% |
| ADX / DI 방향성 period=29, threshold=40 |
4.4% | -34.7% | 0.52 | 0.13 | 7.3x | 10 | 15% |
| SMA 크로스오버 fast=54, slow=176 |
4.6% | -63.1% | 0.31 | 0.07 | 8.1x | 79 | 62% |
| EMA 크로스오버 fast=59, slow=203 |
4.3% | -80.9% | 0.30 | 0.05 | 7.1x | 57 | 63% |
| Supertrend period=28, mult=4.6 |
2.8% | -78.9% | 0.23 | 0.04 | 3.6x | 103 | 58% |
| Donchian 채널 돌파 entryN=42, exitN=77 |
1.8% | -78.8% | 0.20 | 0.02 | 2.3x | 87 | 66% |
| Keltner 채널 돌파 emaPeriod=21, atrPeriod=10, mult=3.5 |
0.2% | -20.6% | 0.06 | 0.01 | 1.1x | 14 | 1% |
| Parabolic SAR step=0.015, maxStep=0.14 |
-1.9% | -97.9% | 0.05 | -0.02 | 0.4x | 757 | 54% |
| MACD fast=20, slow=56, signal=21 |
-6.5% | -99.2% | -0.14 | -0.07 | 0.0x | 489 | 49% |
| ROC 모멘텀 n=129, threshold=0.05 |
-7.9% | -99.4% | -0.27 | -0.08 | 0.0x | 625 | 48% |
| Buy and hold | 8.4% | -56.1% | 0.40 | 0.15 | 42.8x | 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 14-day average (3.5× volatility)
- Sell — Sell when the close falls back to the 14-day middle average