Trend-Following Backtester · Guide · backtest 한국어
equity · US
Western Alliance Bancorporation backtest
10 trend-following strategies were compared on the full daily history of Western Alliance Bancorporation. 7 beat buy-and-hold CAGR; Supertrend ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is Supertrend (CAGR 11.4%, MDD -56.4%).
Results by strategy
7 of 10 beat buy and hold (CAGR 5.3%, drawdown -92.1%).
Sharpe leader (same as main): Supertrend — CAGR 11.4%, MDD -56.4%, Sharpe 0.48, 55% exposure.
Return/drawdown alternative: Supertrend — CAGR is 6.1%p higher than buy and hold, while drawdown improves by 35.8%p (CAGR 11.4%, MDD -56.4%, 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 |
|---|---|---|---|---|---|---|---|
| Supertrend period=21, mult=3.7 |
11.4% | -56.4% | 0.48 | 0.20 | 9.8x | 96 | 55% |
| Parabolic SAR step=0.005, maxStep=0.24 |
8.7% | -69.0% | 0.41 | 0.13 | 5.8x | 188 | 53% |
| Donchian 채널 돌파 entryN=19, exitN=77 |
7.6% | -82.5% | 0.38 | 0.09 | 4.7x | 53 | 81% |
| 볼린저 밴드 돌파 n=49, k=1.9 |
6.9% | -56.8% | 0.37 | 0.12 | 4.1x | 92 | 36% |
| SMA 크로스오버 fast=7, slow=158 |
6.5% | -66.1% | 0.35 | 0.10 | 3.8x | 68 | 57% |
| EMA 크로스오버 fast=57, slow=178 |
5.9% | -58.4% | 0.35 | 0.10 | 3.3x | 22 | 57% |
| MACD fast=14, slow=48, signal=18 |
6.1% | -73.5% | 0.34 | 0.08 | 3.5x | 264 | 50% |
| Keltner 채널 돌파 emaPeriod=42, atrPeriod=15, mult=2.4 |
5.0% | -61.9% | 0.31 | 0.08 | 2.8x | 96 | 34% |
| ADX / DI 방향성 period=23, threshold=18 |
4.3% | -60.0% | 0.28 | 0.07 | 2.4x | 116 | 26% |
| ROC 모멘텀 n=123, threshold=-0.04 |
3.8% | -84.9% | 0.28 | 0.04 | 2.2x | 149 | 64% |
| Buy and hold | 5.3% | -92.1% | 0.37 | 0.06 | 3.0x | 1 | 100% |
Rules of the top strategy
Trades the direction of a volatility-based trend line that trails below/above price.
- Buy — Buy when price moves above the trend line (flips up) — 21-day volatility, 3.7× band
- Sell — Sell when price drops below the trend line (flips down)