Trend-Following Backtester · Guide · backtest 한국어
equity · US
Texas Capital Bancshares, Inc. backtest
10 trend-following strategies were compared on the full daily history of Texas Capital Bancshares, Inc.. 2 beat buy-and-hold CAGR; 볼린저 밴드 돌파 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is Supertrend (CAGR 9.3%, MDD -52.8%).
Results by strategy
2 of 10 beat buy and hold (CAGR 9.2%, drawdown -81.2%).
Sharpe leader (same as main): 볼린저 밴드 돌파 — CAGR 4.2%, MDD -17.8%, Sharpe 0.49, 8% exposure.
CAGR reference leader: ROC 모멘텀 — CAGR 11.0%, MDD -61.8%, exposure 92%.
Return/drawdown alternative: Supertrend — CAGR is 5.0%p lower than buy and hold, while drawdown improves by 63.3%p (CAGR 9.3%, MDD -52.8%, exposure 54%).
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=18, k=2.9 |
4.2% | -17.8% | 0.49 | 0.24 | 2.6x | 40 | 8% |
| ROC 모멘텀 n=36, threshold=-0.15 |
11.0% | -61.8% | 0.48 | 0.18 | 11.3x | 129 | 92% |
| Supertrend period=22, mult=3 |
9.3% | -52.8% | 0.47 | 0.18 | 7.8x | 128 | 54% |
| SMA 크로스오버 fast=33, slow=67 |
8.4% | -54.1% | 0.43 | 0.16 | 6.5x | 80 | 57% |
| MACD fast=27, slow=52, signal=24 |
8.1% | -42.7% | 0.42 | 0.19 | 6.1x | 182 | 51% |
| Donchian 채널 돌파 entryN=22, exitN=78 |
8.2% | -60.8% | 0.41 | 0.13 | 6.1x | 50 | 80% |
| ADX / DI 방향성 period=29, threshold=21 |
3.2% | -22.8% | 0.32 | 0.14 | 2.1x | 60 | 14% |
| EMA 크로스오버 fast=27, slow=35 |
4.8% | -63.8% | 0.31 | 0.08 | 3.0x | 108 | 57% |
| Keltner 채널 돌파 emaPeriod=37, atrPeriod=22, mult=1.8 |
3.7% | -46.7% | 0.28 | 0.08 | 2.3x | 138 | 37% |
| Parabolic SAR step=0.005, maxStep=0.34 |
1.4% | -63.4% | 0.19 | 0.02 | 1.4x | 204 | 53% |
| Buy and hold | 9.2% | -81.2% | 0.42 | 0.11 | 7.7x | 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 18-day average (2.9× volatility)
- Sell — Sell when the close falls back to the 18-day middle average