Trend-Following Backtester · Guide · backtest 한국어
equity · US
Prudential Financial, Inc. backtest
10 trend-following strategies were compared on the full daily history of Prudential Financial, Inc.. 0 beat buy-and-hold CAGR; Supertrend ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is Supertrend (CAGR 5.7%, MDD -48.6%).
Results by strategy
0 of 10 beat buy and hold (CAGR 5.9%, drawdown -89.1%).
Sharpe leader (same as main): Supertrend — CAGR 5.7%, MDD -48.6%, Sharpe 0.36, 59% exposure.
Return/drawdown alternative: Supertrend — CAGR is 0.2%p lower than buy and hold, while drawdown improves by 40.5%p (CAGR 5.7%, MDD -48.6%, exposure 59%).
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 |
|---|---|---|---|---|---|---|---|
| Supertrend period=28, mult=4.8 |
5.7% | -48.6% | 0.36 | 0.12 | 3.9x | 77 | 59% |
| EMA 크로스오버 fast=44, slow=185 |
3.5% | -53.0% | 0.28 | 0.07 | 2.4x | 45 | 61% |
| MACD fast=17, slow=47, signal=16 |
2.9% | -56.8% | 0.24 | 0.05 | 2.0x | 303 | 52% |
| SMA 크로스오버 fast=25, slow=88 |
2.9% | -61.4% | 0.24 | 0.05 | 2.0x | 87 | 61% |
| 볼린저 밴드 돌파 n=54, k=3.5 |
0.7% | -8.3% | 0.23 | 0.08 | 1.2x | 4 | 2% |
| Donchian 채널 돌파 entryN=15, exitN=39 |
1.7% | -67.4% | 0.20 | 0.02 | 1.5x | 107 | 76% |
| Parabolic SAR step=0.005, maxStep=0.24 |
1.6% | -62.3% | 0.19 | 0.03 | 1.5x | 219 | 58% |
| ROC 모멘텀 n=143, threshold=0.05 |
1.1% | -57.9% | 0.15 | 0.02 | 1.3x | 221 | 48% |
| Keltner 채널 돌파 emaPeriod=34, atrPeriod=20, mult=2.1 |
0.8% | -55.0% | 0.13 | 0.02 | 1.2x | 141 | 33% |
| ADX / DI 방향성 period=34, threshold=24 |
0.3% | -11.0% | 0.09 | 0.02 | 1.1x | 12 | 4% |
| Buy and hold | 5.9% | -89.1% | 0.35 | 0.07 | 4.1x | 1 | 100% |
Rules of the top strategy
Trades the direction of a volatility-based trend line that trails below/above price.
- Buy — Buy when price moves above the trend line (flips up) — 28-day volatility, 4.8× band
- Sell — Sell when price drops below the trend line (flips down)