Trend-Following Backtester · Guide · backtest 한국어
equity · US
Regions Financial Corporation backtest
10 trend-following strategies were compared on the full daily history of Regions Financial Corporation. 1 beat buy-and-hold CAGR; SMA 크로스오버 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is SMA 크로스오버 (CAGR 6.7%, MDD -57.3%).
Results by strategy
1 of 10 beat buy and hold (CAGR 6.5%, drawdown -93.6%).
Sharpe leader (same as main): SMA 크로스오버 — CAGR 6.7%, MDD -57.3%, Sharpe 0.43, 63% exposure.
Return/drawdown alternative: SMA 크로스오버 — CAGR is 0.2%p higher than buy and hold, while drawdown improves by 36.3%p (CAGR 6.7%, MDD -57.3%, 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 |
|---|---|---|---|---|---|---|---|
| SMA 크로스오버 fast=56, slow=258 |
6.7% | -57.3% | 0.43 | 0.12 | 20.5x | 53 | 63% |
| EMA 크로스오버 fast=78, slow=95 |
5.9% | -53.9% | 0.39 | 0.11 | 14.5x | 73 | 64% |
| Donchian 채널 돌파 entryN=85, exitN=82 |
4.4% | -58.8% | 0.32 | 0.07 | 7.3x | 71 | 58% |
| ROC 모멘텀 n=129, threshold=0.05 |
3.5% | -60.4% | 0.28 | 0.06 | 4.8x | 393 | 50% |
| ADX / DI 방향성 period=31, threshold=36 |
1.0% | -18.9% | 0.26 | 0.05 | 1.6x | 28 | 5% |
| 볼린저 밴드 돌파 n=58, k=1.8 |
1.9% | -67.9% | 0.19 | 0.03 | 2.4x | 190 | 40% |
| Supertrend period=25, mult=3 |
1.9% | -74.3% | 0.19 | 0.03 | 2.4x | 337 | 56% |
| Keltner 채널 돌파 emaPeriod=50, atrPeriod=12, mult=1.9 |
1.2% | -81.1% | 0.16 | 0.01 | 1.7x | 272 | 42% |
| MACD fast=18, slow=45, signal=19 |
-2.0% | -91.7% | 0.05 | -0.02 | 0.4x | 538 | 50% |
| Parabolic SAR step=0.015, maxStep=0.12 |
-2.7% | -96.9% | 0.01 | -0.03 | 0.3x | 740 | 53% |
| Buy and hold | 6.5% | -93.6% | 0.35 | 0.07 | 18.5x | 1 | 100% |
Rules of the top strategy
When the short average rises above the long average, it reads that as an uptrend starting.
- Buy — Buy when the 56-day average price crosses above the 258-day average
- Sell — Sell (to cash) when the 56-day average falls below the 258-day average