Trend-Following Backtester · Guide · backtest 한국어
equity · US
First Horizon Corporation backtest
10 trend-following strategies were compared on the full daily history of First Horizon Corporation. 2 beat buy-and-hold CAGR; ROC 모멘텀 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is SMA 크로스오버 (CAGR 6.7%, MDD -45.2%).
Results by strategy
2 of 10 beat buy and hold (CAGR 7.1%, drawdown -89.5%).
Sharpe leader (same as main): ROC 모멘텀 — CAGR 7.9%, MDD -73.3%, Sharpe 0.44, 80% exposure.
Return/drawdown alternative: SMA 크로스오버 — CAGR is 0.8%p higher than buy and hold, while drawdown improves by 16.2%p (CAGR 6.7%, MDD -45.2%, exposure 63%).
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 |
|---|---|---|---|---|---|---|---|
| ROC 모멘텀 n=144, threshold=-0.1 |
7.9% | -73.3% | 0.44 | 0.11 | 34.1x | 197 | 80% |
| SMA 크로스오버 fast=26, slow=219 |
6.7% | -45.2% | 0.41 | 0.15 | 20.6x | 85 | 63% |
| EMA 크로스오버 fast=30, slow=178 |
6.5% | -48.7% | 0.41 | 0.13 | 18.2x | 93 | 65% |
| Donchian 채널 돌파 entryN=18, exitN=56 |
7.2% | -73.5% | 0.38 | 0.10 | 24.8x | 143 | 78% |
| Supertrend period=9, mult=3.5 |
4.5% | -76.0% | 0.31 | 0.06 | 7.8x | 259 | 58% |
| 볼린저 밴드 돌파 n=16, k=3.2 |
0.9% | -21.4% | 0.24 | 0.04 | 1.5x | 48 | 4% |
| ADX / DI 방향성 period=27, threshold=20 |
1.4% | -73.9% | 0.17 | 0.02 | 1.9x | 210 | 26% |
| Keltner 채널 돌파 emaPeriod=58, atrPeriod=25, mult=1.4 |
-0.3% | -90.4% | 0.09 | -0.00 | 0.9x | 331 | 48% |
| Parabolic SAR step=0.015, maxStep=0.12 |
-2.4% | -98.8% | 0.01 | -0.02 | 0.3x | 757 | 55% |
| MACD fast=9, slow=24, signal=11 |
-4.5% | -99.0% | -0.09 | -0.05 | 0.1x | 926 | 50% |
| Buy and hold | 7.1% | -89.5% | 0.37 | 0.08 | 23.7x | 1 | 100% |
Rules of the top strategy
Rides the trend when recent return (momentum) over a window is above a threshold.
- Buy — Buy when the last 144-day return is greater than -10%
- Sell — Sell when the 144-day return drops to -10% or below