Trend-Following Backtester · Guide · backtest 한국어

equity · US

Prosperity Bancshares, Inc. backtest

10 trend-following strategies were compared on the full daily history of Prosperity Bancshares, Inc.. 0 beat buy-and-hold CAGR; ROC 모멘텀 ranks first by Sharpe, matching the main backtester. Its 99% market exposure makes it hold-like.

Data 1998-11-12 ~ 2026-07-31daily bars 6,970 (27.7 years)Costs 0.5%Venue XNYSMonthly snapshot 2026-07-31

Results by strategy

0 of 10 beat buy and hold (CAGR 9.4%, drawdown -49.7%).

Sharpe leader (same as main): ROC 모멘텀 — CAGR 8.5%, MDD -54.3%, Sharpe 0.42, 99% exposure. With at least 95% exposure, it should be treated as hold-like, not strong evidence of timing skill.

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 · parametersCAGRMDDSharpeCalmarTotalTradesExposure
ROC 모멘텀
Hold-like · Exposure 99%
n=11, threshold=-0.15
8.5%-54.3%0.420.169.6x3799%
SMA 크로스오버
fast=40, slow=85
4.5%-55.6%0.310.083.4x9158%
Donchian 채널 돌파
entryN=20, exitN=78
4.1%-57.9%0.280.073.1x6581%
Keltner 채널 돌파
emaPeriod=37, atrPeriod=16, mult=3.8
1.4%-22.7%0.230.061.5x3210%
볼린저 밴드 돌파
n=30, k=3.4
0.9%-10.3%0.220.091.3x164%
Supertrend
period=24, mult=3.2
1.6%-55.1%0.180.031.5x16959%
EMA 크로스오버
fast=50, slow=85
0.9%-66.1%0.150.011.3x6563%
ADX / DI 방향성
period=19, threshold=28
-0.2%-25.3%0.01-0.011.0x609%
Parabolic SAR
step=0.005, maxStep=0.1
-3.2%-82.7%-0.04-0.040.4x25354%
MACD
fast=13, slow=22, signal=13
-6.9%-93.1%-0.22-0.070.1x48750%
Buy and hold9.4%-49.7%0.440.1912.0x1100%
1x 10x 1999 2003 2007 2011 2015 2019 2023 ROC 모멘텀Buy and hold
ROC 모멘텀: Solid strategy line versus dashed buy-and-hold line. Log scale.
0% -14% -27% -41% -54% 1999 2003 2007 2011 2015 2019 2023 Buy and holdROC 모멘텀
ROC 모멘텀 maximum drawdown -54.3% (2008-09-19 → 2009-03-11), recovered after 1,746 days.

Rules of the top strategy

Rides the trend when recent return (momentum) over a window is above a threshold.

Method and caveats

Past performance does not guarantee future returns. Parameters were carried forward from the latest full optimization and replayed on this monthly dataset. 0.5% trading costs are included; taxes, slippage and rejected orders are not.
Re-optimize the same period and setupAll asset reports

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