Trend-Following Backtester · Guide · backtest 한국어
equity · US
Capital One Financial Corporation backtest
10 trend-following strategies were compared on the full daily history of Capital One 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 12.2%, drawdown -90.8%).
Sharpe leader (same as main): ADX / DI 방향성 — CAGR 1.8%, MDD -14.5%, Sharpe 0.40, 2% exposure.
CAGR reference leader: SMA 크로스오버 — CAGR 6.8%, MDD -73.4%, exposure 59%.
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=36, threshold=31 |
1.8% | -14.5% | 0.40 | 0.13 | 1.8x | 2 | 2% |
| SMA 크로스오버 fast=26, slow=140 |
6.8% | -73.4% | 0.38 | 0.09 | 8.0x | 87 | 59% |
| Donchian 채널 돌파 entryN=21, exitN=44 |
5.7% | -82.4% | 0.33 | 0.07 | 5.8x | 121 | 71% |
| EMA 크로스오버 fast=37, slow=86 |
5.4% | -81.6% | 0.33 | 0.07 | 5.3x | 85 | 62% |
| Supertrend period=11, mult=4.9 |
5.2% | -79.6% | 0.32 | 0.07 | 5.0x | 109 | 55% |
| ROC 모멘텀 n=127, threshold=-0.03 |
3.9% | -83.5% | 0.28 | 0.05 | 3.3x | 262 | 66% |
| Parabolic SAR step=0.005, maxStep=0.28 |
2.7% | -71.5% | 0.24 | 0.04 | 2.3x | 283 | 57% |
| MACD fast=29, slow=38, signal=17 |
2.5% | -74.4% | 0.24 | 0.03 | 2.2x | 331 | 52% |
| Keltner 채널 돌파 emaPeriod=58, atrPeriod=27, mult=3.8 |
1.6% | -64.1% | 0.18 | 0.02 | 1.7x | 88 | 27% |
| 볼린저 밴드 돌파 n=16, k=3.2 |
0.8% | -23.3% | 0.17 | 0.03 | 1.3x | 16 | 2% |
| Buy and hold | 12.2% | -90.8% | 0.48 | 0.13 | 39.0x | 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, 36-day) is ≥ 31
- Sell — Sell when direction flips or the trend weakens (ADX < 31)