Trend-Following Backtester · Guide · backtest 한국어
equity · US
Cullen/Frost Bankers, Inc. backtest
10 trend-following strategies were compared on the full daily history of Cullen/Frost Bankers, Inc.. 1 beat buy-and-hold CAGR; ADX / DI 방향성 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is Supertrend (CAGR 7.3%, MDD -56.8%).
Results by strategy
1 of 10 beat buy and hold (CAGR 8.9%, drawdown -83.9%).
Sharpe leader (same as main): ADX / DI 방향성 — CAGR 4.7%, MDD -36.8%, Sharpe 0.47, 14% exposure.
CAGR reference leader: Donchian 채널 돌파 — CAGR 9.0%, MDD -68.5%, exposure 83%.
Return/drawdown alternative: Supertrend — CAGR is 4.2%p lower than buy and hold, while drawdown improves by 47.1%p (CAGR 7.3%, MDD -56.8%, exposure 61%).
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=37, threshold=26 |
4.7% | -36.8% | 0.47 | 0.13 | 8.4x | 42 | 14% |
| Donchian 채널 돌파 entryN=13, exitN=68 |
9.0% | -68.5% | 0.46 | 0.13 | 55.0x | 141 | 83% |
| Supertrend period=4, mult=4.4 |
7.3% | -56.8% | 0.43 | 0.13 | 26.4x | 181 | 61% |
| SMA 크로스오버 fast=36, slow=404 |
6.6% | -64.9% | 0.41 | 0.10 | 19.1x | 41 | 60% |
| EMA 크로스오버 fast=44, slow=96 |
5.9% | -55.8% | 0.38 | 0.11 | 14.3x | 101 | 62% |
| Parabolic SAR step=0.005, maxStep=0.36 |
4.2% | -75.3% | 0.30 | 0.06 | 6.9x | 373 | 56% |
| 볼린저 밴드 돌파 n=57, k=1.1 |
3.5% | -77.5% | 0.27 | 0.05 | 5.0x | 299 | 49% |
| ROC 모멘텀 n=131, threshold=0.07 |
2.3% | -86.8% | 0.21 | 0.03 | 2.8x | 453 | 45% |
| Keltner 채널 돌파 emaPeriod=34, atrPeriod=29, mult=3.8 |
1.4% | -43.8% | 0.18 | 0.03 | 1.9x | 95 | 16% |
| MACD fast=17, slow=40, signal=19 |
-2.0% | -92.0% | 0.02 | -0.02 | 0.4x | 589 | 51% |
| Buy and hold | 8.9% | -83.9% | 0.42 | 0.11 | 51.2x | 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, 37-day) is ≥ 26
- Sell — Sell when direction flips or the trend weakens (ADX < 26)