Trend-Following Backtester · Guide · backtest 한국어
equity · US
Triumph Financial, Inc. backtest
10 trend-following strategies were compared on the full daily history of Triumph Financial, Inc.. 3 beat buy-and-hold CAGR; 볼린저 밴드 돌파 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is 볼린저 밴드 돌파 (CAGR 16.2%, MDD -31.6%).
Results by strategy
3 of 10 beat buy and hold (CAGR 15.6%, drawdown -65.6%).
Sharpe leader (same as main): 볼린저 밴드 돌파 — CAGR 16.2%, MDD -31.6%, Sharpe 0.91, 29% exposure.
Return/drawdown alternative: 볼린저 밴드 돌파 — CAGR is 0.6%p higher than buy and hold, while drawdown improves by 34.0%p (CAGR 16.2%, MDD -31.6%, exposure 29%).
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=31, k=2.6 |
16.2% | -31.6% | 0.91 | 0.51 | 5.9x | 42 | 29% |
| Donchian 채널 돌파 entryN=57, exitN=11 |
14.4% | -37.9% | 0.79 | 0.38 | 4.9x | 52 | 32% |
| Keltner 채널 돌파 emaPeriod=34, atrPeriod=19, mult=4 |
10.7% | -29.3% | 0.78 | 0.37 | 3.3x | 20 | 18% |
| ADX / DI 방향성 period=15, threshold=23 |
13.4% | -32.8% | 0.72 | 0.41 | 4.4x | 74 | 32% |
| EMA 크로스오버 fast=10, slow=180 |
16.2% | -46.6% | 0.69 | 0.35 | 5.9x | 23 | 59% |
| MACD fast=17, slow=33, signal=14 |
16.1% | -49.2% | 0.66 | 0.33 | 5.8x | 142 | 51% |
| Supertrend period=8, mult=3.4 |
15.6% | -45.9% | 0.66 | 0.34 | 5.6x | 59 | 59% |
| SMA 크로스오버 fast=38, slow=180 |
15.1% | -54.9% | 0.62 | 0.28 | 5.3x | 19 | 60% |
| ROC 모멘텀 n=141, threshold=-0.04 |
13.9% | -47.8% | 0.58 | 0.29 | 4.6x | 65 | 65% |
| Parabolic SAR step=0.005, maxStep=0.3 |
7.5% | -55.4% | 0.40 | 0.14 | 2.4x | 102 | 57% |
| Buy and hold | 15.6% | -65.6% | 0.56 | 0.24 | 5.6x | 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 31-day average (2.6× volatility)
- Sell — Sell when the close falls back to the 31-day middle average