Trend-Following Backtester · Guide · backtest 한국어
equity · US
The Bank of New York Mellon Corporation backtest
10 trend-following strategies were compared on the full daily history of The Bank of New York Mellon Corporation. 0 beat buy-and-hold CAGR; SMA 크로스오버 ranks first by Sharpe, matching the main backtester.
Results by strategy
0 of 10 beat buy and hold (CAGR 9.1%, drawdown -74.8%).
Sharpe leader (same as main): SMA 크로스오버 — CAGR 6.8%, MDD -49.5%, Sharpe 0.42, 65% 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 |
|---|---|---|---|---|---|---|---|
| SMA 크로스오버 fast=28, slow=163 |
6.8% | -49.5% | 0.42 | 0.14 | 33.1x | 99 | 65% |
| EMA 크로스오버 fast=20, slow=196 |
6.1% | -65.5% | 0.39 | 0.09 | 23.0x | 107 | 66% |
| Donchian 채널 돌파 entryN=65, exitN=51 |
5.8% | -56.5% | 0.39 | 0.10 | 19.8x | 105 | 55% |
| ROC 모멘텀 n=117, threshold=-0.04 |
4.1% | -83.0% | 0.29 | 0.05 | 8.3x | 423 | 72% |
| ADX / DI 방향성 period=40, threshold=33 |
0.5% | -8.0% | 0.25 | 0.06 | 1.3x | 4 | 1% |
| Supertrend period=27, mult=3.6 |
0.5% | -71.7% | 0.13 | 0.01 | 1.3x | 347 | 57% |
| Parabolic SAR step=0.01, maxStep=0.36 |
-1.1% | -94.1% | 0.06 | -0.01 | 0.6x | 686 | 55% |
| 볼린저 밴드 돌파 n=23, k=3.2 |
-0.2% | -30.2% | -0.02 | -0.01 | 0.9x | 58 | 5% |
| Keltner 채널 돌파 emaPeriod=31, atrPeriod=18, mult=1.1 |
-2.0% | -86.7% | -0.03 | -0.02 | 0.3x | 625 | 46% |
| MACD fast=11, slow=57, signal=14 |
-3.7% | -93.6% | -0.08 | -0.04 | 0.1x | 810 | 51% |
| Buy and hold | 9.1% | -74.8% | 0.43 | 0.12 | 104.4x | 1 | 100% |
Rules of the top strategy
When the short average rises above the long average, it reads that as an uptrend starting.
- Buy — Buy when the 28-day average price crosses above the 163-day average
- Sell — Sell (to cash) when the 28-day average falls below the 163-day average