Trend-Following Backtester · Guide · backtest 한국어
equity · US
Bank of America Corporation backtest
10 trend-following strategies were compared on the full daily history of Bank of America Corporation. 2 beat buy-and-hold CAGR; Donchian 채널 돌파 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is Supertrend (CAGR 4.3%, MDD -75.1%).
Results by strategy
2 of 10 beat buy and hold (CAGR 5.0%, drawdown -94.3%).
Sharpe leader (same as main): Donchian 채널 돌파 — CAGR 6.9%, MDD -80.5%, Sharpe 0.39, 62% exposure.
Return/drawdown alternative: Supertrend — CAGR is 1.9%p higher than buy and hold, while drawdown improves by 13.8%p (CAGR 4.3%, MDD -75.1%, exposure 53%).
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=21, exitN=33 |
6.9% | -80.5% | 0.39 | 0.09 | 35.4x | 217 | 62% |
| SMA 크로스오버 fast=18, slow=91 |
5.3% | -81.2% | 0.34 | 0.07 | 16.0x | 185 | 58% |
| Supertrend period=18, mult=4.4 |
4.3% | -75.1% | 0.30 | 0.06 | 9.6x | 227 | 53% |
| EMA 크로스오버 fast=47, slow=180 |
3.1% | -60.7% | 0.25 | 0.05 | 5.2x | 87 | 61% |
| Parabolic SAR step=0.025, maxStep=0.06 |
2.6% | -90.5% | 0.23 | 0.03 | 4.0x | 785 | 55% |
| ROC 모멘텀 n=56, threshold=-0.01 |
2.4% | -90.9% | 0.22 | 0.03 | 3.6x | 693 | 60% |
| 볼린저 밴드 돌파 n=17, k=2.5 |
1.9% | -54.2% | 0.21 | 0.03 | 2.7x | 287 | 18% |
| ADX / DI 방향성 period=36, threshold=34 |
0.4% | -16.8% | 0.16 | 0.03 | 1.3x | 8 | 1% |
| Keltner 채널 돌파 emaPeriod=37, atrPeriod=25, mult=1.5 |
0.5% | -91.8% | 0.13 | 0.01 | 1.3x | 429 | 42% |
| MACD fast=15, slow=41, signal=8 |
-0.9% | -95.8% | 0.10 | -0.01 | 0.6x | 874 | 50% |
| Buy and hold | 5.0% | -94.3% | 0.32 | 0.05 | 13.3x | 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 21 days
- Sell — Sell when price breaks below the lowest low of the last 33 days