Trend-Following Backtester · Guide · backtest 한국어
equity · US
Customers Bancorp, Inc backtest
10 trend-following strategies were compared on the full daily history of Customers Bancorp, Inc. 1 beat buy-and-hold CAGR; Donchian 채널 돌파 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is Supertrend (CAGR 15.7%, MDD -43.6%).
Results by strategy
1 of 10 beat buy and hold (CAGR 15.8%, drawdown -78.6%).
Sharpe leader (same as main): Donchian 채널 돌파 — CAGR 17.7%, MDD -57.6%, Sharpe 0.65, 72% exposure.
Return/drawdown alternative: Supertrend — CAGR is 1.8%p higher than buy and hold, while drawdown improves by 20.9%p (CAGR 15.7%, MDD -43.6%, 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=51, exitN=75 |
17.7% | -57.6% | 0.65 | 0.31 | 10.5x | 21 | 72% |
| Supertrend period=26, mult=4.4 |
15.7% | -43.6% | 0.64 | 0.36 | 8.3x | 55 | 53% |
| SMA 크로스오버 fast=32, slow=117 |
13.1% | -64.4% | 0.56 | 0.20 | 5.9x | 37 | 60% |
| EMA 크로스오버 fast=29, slow=87 |
12.2% | -61.2% | 0.53 | 0.20 | 5.3x | 47 | 59% |
| 볼린저 밴드 돌파 n=50, k=1.9 |
10.7% | -47.8% | 0.52 | 0.22 | 4.3x | 60 | 34% |
| MACD fast=19, slow=50, signal=15 |
11.7% | -47.5% | 0.51 | 0.25 | 5.0x | 152 | 49% |
| ROC 모멘텀 n=151, threshold=0.01 |
11.3% | -55.6% | 0.50 | 0.20 | 4.7x | 110 | 62% |
| Keltner 채널 돌파 emaPeriod=45, atrPeriod=13, mult=3.6 |
8.8% | -28.4% | 0.50 | 0.31 | 3.4x | 42 | 25% |
| ADX / DI 방향성 period=27, threshold=23 |
6.5% | -35.3% | 0.41 | 0.19 | 2.5x | 38 | 20% |
| Parabolic SAR step=0.01, maxStep=0.16 |
2.6% | -74.5% | 0.24 | 0.03 | 1.4x | 212 | 53% |
| Buy and hold | 15.8% | -78.6% | 0.55 | 0.20 | 8.4x | 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 51 days
- Sell — Sell when price breaks below the lowest low of the last 75 days