Trend-Following Backtester · Guide · backtest 한국어
equity · US
UMB Financial Corporation backtest
10 trend-following strategies were compared on the full daily history of UMB Financial Corporation. 0 beat buy-and-hold CAGR; ADX / DI 방향성 ranks first by Sharpe, matching the main backtester.
Results by strategy
0 of 10 beat buy and hold (CAGR 7.5%, drawdown -55.5%).
Sharpe leader (same as main): ADX / DI 방향성 — CAGR 3.1%, MDD -31.4%, Sharpe 0.39, 17% exposure.
CAGR reference leader: Donchian 채널 돌파 — CAGR 3.3%, MDD -55.6%, exposure 49%.
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 |
|---|---|---|---|---|---|---|---|
| ADX / DI 방향성 period=53, threshold=37 |
3.1% | -31.4% | 0.39 | 0.10 | 4.2x | 16 | 17% |
| Donchian 채널 돌파 entryN=93, exitN=68 |
3.3% | -55.6% | 0.27 | 0.06 | 4.5x | 67 | 49% |
| SMA 크로스오버 fast=48, slow=173 |
3.3% | -54.6% | 0.26 | 0.06 | 4.4x | 75 | 56% |
| EMA 크로스오버 fast=53, slow=157 |
3.0% | -65.3% | 0.25 | 0.05 | 4.0x | 71 | 57% |
| 볼린저 밴드 돌파 n=68, k=3 |
1.8% | -40.6% | 0.21 | 0.04 | 2.3x | 58 | 18% |
| Supertrend period=18, mult=4.9 |
1.9% | -65.5% | 0.19 | 0.03 | 2.3x | 111 | 57% |
| Keltner 채널 돌파 emaPeriod=57, atrPeriod=11, mult=3.8 |
1.3% | -36.0% | 0.17 | 0.04 | 1.8x | 73 | 19% |
| MACD fast=49, slow=64, signal=41 |
-0.5% | -73.7% | 0.07 | -0.01 | 0.8x | 265 | 51% |
| Parabolic SAR step=0.005, maxStep=0.3 |
-2.5% | -88.6% | -0.02 | -0.03 | 0.3x | 361 | 54% |
| ROC 모멘텀 n=173, threshold=0.07 |
-3.1% | -87.0% | -0.08 | -0.04 | 0.2x | 371 | 41% |
| Buy and hold | 7.5% | -55.5% | 0.39 | 0.13 | 28.0x | 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, 53-day) is ≥ 37
- Sell — Sell when direction flips or the trend weakens (ADX < 37)