Trend-Following Backtester · Guide · backtest 한국어
equity · US
Synchrony Financial backtest
10 trend-following strategies were compared on the full daily history of Synchrony Financial. 3 beat buy-and-hold CAGR; Keltner 채널 돌파 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is ROC 모멘텀 (CAGR 10.7%, MDD -33.6%).
Results by strategy
3 of 10 beat buy and hold (CAGR 10.4%, drawdown -68.2%).
Sharpe leader (same as main): Keltner 채널 돌파 — CAGR 2.3%, MDD -8.9%, Sharpe 0.56, 4% exposure.
CAGR reference leader: Donchian 채널 돌파 — CAGR 11.4%, MDD -36.0%, exposure 66%.
Return/drawdown alternative: ROC 모멘텀 — CAGR is 8.1%p lower than buy and hold, while drawdown improves by 59.3%p (CAGR 10.7%, MDD -33.6%, exposure 55%).
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 |
|---|---|---|---|---|---|---|---|
| Keltner 채널 돌파 emaPeriod=11, atrPeriod=17, mult=3.1 |
2.3% | -8.9% | 0.56 | 0.26 | 1.3x | 8 | 4% |
| ROC 모멘텀 n=76, threshold=0.01 |
10.7% | -33.6% | 0.55 | 0.32 | 3.4x | 93 | 55% |
| Donchian 채널 돌파 entryN=42, exitN=62 |
11.4% | -36.0% | 0.55 | 0.32 | 3.7x | 24 | 66% |
| SMA 크로스오버 fast=18, slow=40 |
10.9% | -47.2% | 0.54 | 0.23 | 3.5x | 76 | 57% |
| Parabolic SAR step=0.005, maxStep=0.16 |
10.1% | -32.8% | 0.52 | 0.31 | 3.2x | 102 | 53% |
| EMA 크로스오버 fast=8, slow=42 |
9.3% | -49.2% | 0.49 | 0.19 | 2.9x | 87 | 58% |
| Supertrend period=32, mult=4.6 |
9.5% | -51.2% | 0.49 | 0.19 | 3.0x | 38 | 60% |
| ADX / DI 방향성 period=33, threshold=10 |
6.4% | -39.9% | 0.39 | 0.16 | 2.1x | 110 | 47% |
| 볼린저 밴드 돌파 n=61, k=2 |
5.9% | -32.8% | 0.39 | 0.18 | 2.0x | 42 | 39% |
| MACD fast=18, slow=43, signal=15 |
4.5% | -51.9% | 0.30 | 0.09 | 1.7x | 135 | 48% |
| Buy and hold | 10.4% | -68.2% | 0.45 | 0.15 | 3.3x | 1 | 100% |
Rules of the top strategy
Breaking above the channel top (average plus a multiple of volatility) signals an upside breakout.
- Buy — Buy when the close breaks above the 11-day average + 3.1× volatility (Keltner top)
- Sell — Sell when the close falls back to the 11-day average