Trend-Following Backtester · Guide · backtest 한국어

equity · US

Webster Financial Corporation backtest

10 trend-following strategies were compared on the full daily history of Webster Financial Corporation. 2 beat buy-and-hold CAGR; Donchian 채널 돌파 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is SMA 크로스오버 (CAGR 7.3%, MDD -61.3%).

Data 1986-12-12 ~ 2026-07-31daily bars 9,983 (39.6 years)Costs 0.5%Venue XNYSMonthly snapshot 2026-07-31

Results by strategy

2 of 10 beat buy and hold (CAGR 7.0%, drawdown -94.2%).

Sharpe leader (same as main): Donchian 채널 돌파 — CAGR 8.9%, MDD -76.5%, Sharpe 0.43, 83% exposure.

Return/drawdown alternative: SMA 크로스오버 — CAGR is 1.9%p higher than buy and hold, while drawdown improves by 17.7%p (CAGR 7.3%, MDD -61.3%, exposure 61%).

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 · parametersCAGRMDDSharpeCalmarTotalTradesExposure
Donchian 채널 돌파
entryN=18, exitN=78
8.9%-76.5%0.430.1229.5x10183%
SMA 크로스오버
fast=54, slow=145
7.3%-61.3%0.410.1216.4x7361%
Supertrend
period=17, mult=3.4
6.5%-65.7%0.370.1012.0x20756%
EMA 크로스오버
fast=48, slow=108
6.1%-74.5%0.370.0810.4x8563%
볼린저 밴드 돌파
n=42, k=1.7
4.7%-68.6%0.320.076.1x23538%
ADX / DI 방향성
period=39, threshold=33
0.8%-11.0%0.260.071.4x82%
MACD
fast=21, slow=24, signal=17
2.5%-87.6%0.220.032.6x49251%
Parabolic SAR
step=0.005, maxStep=0.24
2.1%-88.2%0.210.022.3x33555%
Keltner 채널 돌파
emaPeriod=51, atrPeriod=12, mult=2.8
2.2%-50.0%0.210.042.3x15332%
ROC 모멘텀
n=43, threshold=-0.04
0.5%-74.5%0.160.011.2x54370%
Buy and hold7.0%-94.2%0.370.0714.7x1100%
1x 10x 1987 1992 1997 2002 2007 2012 2017 2022 Donchian 채널 돌파Buy and hold
Donchian 채널 돌파: Solid strategy line versus dashed buy-and-hold line. Log scale.
0% -24% -47% -71% -94% 1987 1992 1997 2002 2007 2012 2017 2022 Buy and holdDonchian 채널 돌파
Donchian 채널 돌파 maximum drawdown -76.5% (2004-03-09 → 2009-03-30), recovered after 2,192 days.

Rules of the top strategy

A new high means a trend starting; a new low means it’s over (turtle-trading style).

Method and caveats

Past performance does not guarantee future returns. Parameters were carried forward from the latest full optimization and replayed on this monthly dataset. 0.5% trading costs are included; taxes, slippage and rejected orders are not.
Re-optimize the same period and setupAll asset reports

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