Trend-Following Backtester · Guide · backtest 한국어
equity · US
Truist Financial Corporation backtest
10 trend-following strategies were compared on the full daily history of Truist Financial Corporation. 0 beat buy-and-hold CAGR; 볼린저 밴드 돌파 ranks first by Sharpe, matching the main backtester.
Results by strategy
0 of 10 beat buy and hold (CAGR 7.3%, drawdown -70.2%).
Sharpe leader (same as main): 볼린저 밴드 돌파 — CAGR 2.2%, MDD -6.2%, Sharpe 0.78, 4% exposure.
CAGR reference leader: Donchian 채널 돌파 — CAGR 5.0%, MDD -79.0%, exposure 85%.
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 |
|---|---|---|---|---|---|---|---|
| 볼린저 밴드 돌파 n=12, k=3.2 |
2.2% | -6.2% | 0.78 | 0.36 | 2.8x | 26 | 4% |
| ADX / DI 방향성 period=34, threshold=35 |
2.3% | -27.0% | 0.39 | 0.08 | 2.8x | 26 | 14% |
| Donchian 채널 돌파 entryN=11, exitN=102 |
5.0% | -79.0% | 0.31 | 0.06 | 9.5x | 107 | 85% |
| EMA 크로스오버 fast=30, slow=214 |
3.1% | -73.8% | 0.25 | 0.04 | 4.2x | 73 | 67% |
| SMA 크로스오버 fast=62, slow=178 |
2.7% | -59.5% | 0.23 | 0.05 | 3.5x | 71 | 62% |
| MACD fast=24, slow=41, signal=11 |
2.5% | -76.4% | 0.22 | 0.03 | 3.2x | 550 | 51% |
| Supertrend period=22, mult=4.3 |
1.0% | -79.4% | 0.15 | 0.01 | 1.6x | 173 | 58% |
| ROC 모멘텀 n=127, threshold=0.01 |
0.6% | -83.6% | 0.13 | 0.01 | 1.3x | 380 | 58% |
| Parabolic SAR step=0.015, maxStep=0.18 |
0.1% | -93.0% | 0.11 | 0.00 | 1.0x | 754 | 54% |
| Keltner 채널 돌파 emaPeriod=73, atrPeriod=16, mult=2.4 |
-0.2% | -76.1% | 0.06 | -0.00 | 0.9x | 190 | 39% |
| Buy and hold | 7.3% | -70.2% | 0.38 | 0.10 | 26.1x | 1 | 100% |
Rules of the top strategy
Breaking above the upper band (average plus a multiple of volatility) signals a strong move up.
- Buy — Buy when the close breaks above the upper band of the 12-day average (3.2× volatility)
- Sell — Sell when the close falls back to the 12-day middle average