Trend-Following Backtester · Guide · backtest 한국어
equity · US
F.N.B. Corporation backtest
10 trend-following strategies were compared on the full daily history of F.N.B. 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 1.4%, drawdown -84.8%).
Sharpe leader (same as main): ADX / DI 방향성 — CAGR 0.6%, MDD -52.9%, Sharpe 0.13, 25% 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 |
|---|---|---|---|---|---|---|---|
| ADX / DI 방향성 period=37, threshold=25 |
0.6% | -52.9% | 0.13 | 0.01 | 1.3x | 30 | 25% |
| 볼린저 밴드 돌파 n=13, k=3.4 |
0.3% | -11.0% | 0.11 | 0.02 | 1.1x | 24 | 3% |
| EMA 크로스오버 fast=59, slow=170 |
-0.4% | -77.1% | 0.11 | -0.01 | 0.8x | 59 | 53% |
| SMA 크로스오버 fast=48, slow=219 |
-0.8% | -79.1% | 0.09 | -0.01 | 0.7x | 55 | 52% |
| Supertrend period=16, mult=4.4 |
-2.0% | -89.0% | 0.07 | -0.02 | 0.4x | 105 | 53% |
| Donchian 채널 돌파 entryN=42, exitN=73 |
-2.3% | -93.2% | 0.06 | -0.02 | 0.4x | 73 | 59% |
| ROC 모멘텀 n=125, threshold=-0.13 |
-6.8% | -97.5% | -0.06 | -0.07 | 0.1x | 249 | 85% |
| Parabolic SAR step=0.005, maxStep=0.34 |
-5.0% | -97.8% | -0.07 | -0.05 | 0.1x | 309 | 50% |
| Keltner 채널 돌파 emaPeriod=46, atrPeriod=17, mult=4 |
-1.1% | -43.6% | -0.10 | -0.03 | 0.6x | 34 | 6% |
| MACD fast=18, slow=40, signal=19 |
-10.6% | -99.4% | -0.28 | -0.11 | 0.0x | 496 | 51% |
| Buy and hold | 1.4% | -84.8% | 0.23 | 0.02 | 1.7x | 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 ≥ 25
- Sell — Sell when direction flips or the trend weakens (ADX < 25)