Trend-Following Backtester · Guide · backtest 한국어
equity · US
Park National Corporation backtest
10 trend-following strategies were compared on the full daily history of Park National Corporation. 0 beat buy-and-hold CAGR; ROC 모멘텀 ranks first by Sharpe, matching the main backtester. Its 100% market exposure makes it hold-like.
Results by strategy
0 of 10 beat buy and hold (CAGR 7.6%, drawdown -71.8%).
Sharpe leader (same as main): ROC 모멘텀 — CAGR 6.7%, MDD -79.6%, Sharpe 0.36, 100% exposure. With at least 95% exposure, it should be treated as hold-like, not strong evidence of timing skill.
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 |
|---|---|---|---|---|---|---|---|
| ROC 모멘텀 Hold-like · Exposure 100% n=1, threshold=-0.15 |
6.7% | -79.6% | 0.36 | 0.08 | 10.2x | 5 | 100% |
| SMA 크로스오버 fast=37, slow=75 |
4.9% | -67.8% | 0.31 | 0.07 | 5.5x | 133 | 56% |
| EMA 크로스오버 fast=55, slow=210 |
4.0% | -47.3% | 0.29 | 0.08 | 4.1x | 47 | 63% |
| ADX / DI 방향성 period=48, threshold=27 |
0.9% | -16.8% | 0.26 | 0.05 | 1.4x | 4 | 2% |
| Donchian 채널 돌파 entryN=32, exitN=71 |
1.8% | -76.8% | 0.20 | 0.02 | 1.9x | 89 | 74% |
| 볼린저 밴드 돌파 n=25, k=3.4 |
1.0% | -35.5% | 0.16 | 0.03 | 1.4x | 35 | 5% |
| Supertrend period=18, mult=4.7 |
0.5% | -78.0% | 0.14 | 0.01 | 1.2x | 135 | 55% |
| Keltner 채널 돌파 emaPeriod=44, atrPeriod=17, mult=3.6 |
0.5% | -45.0% | 0.10 | 0.01 | 1.2x | 89 | 18% |
| MACD fast=37, slow=53, signal=33 |
-1.6% | -84.8% | 0.05 | -0.02 | 0.6x | 259 | 48% |
| Parabolic SAR step=0.005, maxStep=0.32 |
-4.4% | -95.6% | -0.08 | -0.05 | 0.2x | 295 | 51% |
| Buy and hold | 7.6% | -71.8% | 0.38 | 0.11 | 14.1x | 1 | 100% |
Rules of the top strategy
Rides the trend when recent return (momentum) over a window is above a threshold.
- Buy — Buy when the last 1-day return is greater than -15%
- Sell — Sell when the 1-day return drops to -15% or below