Trend-Following Backtester · Guide · backtest 한국어
equity · US
Renasant Corporation backtest
10 trend-following strategies were compared on the full daily history of Renasant 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 6.3%, drawdown -74.9%).
Sharpe leader (same as main): ADX / DI 방향성 — CAGR 0.8%, MDD -7.5%, Sharpe 0.30, 1% exposure.
CAGR reference leader: Donchian 채널 돌파 — CAGR 4.3%, MDD -72.7%, exposure 89%.
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=11, threshold=58 |
0.8% | -7.5% | 0.30 | 0.10 | 1.3x | 8 | 1% |
| Donchian 채널 돌파 entryN=15, exitN=124 |
4.3% | -72.7% | 0.29 | 0.06 | 4.3x | 61 | 89% |
| EMA 크로스오버 fast=59, slow=217 |
4.0% | -66.4% | 0.29 | 0.06 | 3.9x | 33 | 62% |
| SMA 크로스오버 fast=36, slow=219 |
3.3% | -59.5% | 0.26 | 0.06 | 3.1x | 59 | 59% |
| 볼린저 밴드 돌파 n=69, k=2.8 |
2.2% | -34.9% | 0.23 | 0.06 | 2.1x | 56 | 19% |
| ROC 모멘텀 n=90, threshold=-0.11 |
-0.2% | -93.1% | 0.14 | -0.00 | 0.9x | 227 | 85% |
| Keltner 채널 돌파 emaPeriod=21, atrPeriod=13, mult=4 |
-0.8% | -60.2% | -0.05 | -0.01 | 0.8x | 52 | 5% |
| Parabolic SAR step=0.005, maxStep=0.24 |
-4.8% | -92.8% | -0.08 | -0.05 | 0.2x | 284 | 55% |
| Supertrend period=9, mult=4.9 |
-5.9% | -90.9% | -0.11 | -0.06 | 0.1x | 173 | 56% |
| MACD fast=28, slow=59, signal=36 |
-7.9% | -96.9% | -0.21 | -0.08 | 0.1x | 300 | 49% |
| Buy and hold | 6.3% | -74.9% | 0.35 | 0.08 | 8.1x | 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, 11-day) is ≥ 58
- Sell — Sell when direction flips or the trend weakens (ADX < 58)