Trend-Following Backtester · Guide · backtest 한국어
equity · US
Pathward Financial, Inc. backtest
10 trend-following strategies were compared on the full daily history of Pathward Financial, Inc.. 5 beat buy-and-hold CAGR; ROC 모멘텀 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is Donchian 채널 돌파 (CAGR 12.3%, MDD -38.8%).
Results by strategy
5 of 10 beat buy and hold (CAGR 10.5%, drawdown -84.3%).
Sharpe leader (same as main): ROC 모멘텀 — CAGR 15.1%, MDD -46.4%, Sharpe 0.62, 75% exposure.
Return/drawdown alternative: Donchian 채널 돌파 — CAGR is 4.6%p higher than buy and hold, while drawdown improves by 37.9%p (CAGR 12.3%, MDD -38.8%, exposure 46%).
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 n=126, threshold=-0.07 |
15.1% | -46.4% | 0.62 | 0.33 | 101.7x | 181 | 75% |
| Donchian 채널 돌파 entryN=67, exitN=30 |
12.3% | -38.8% | 0.62 | 0.32 | 45.5x | 76 | 46% |
| Supertrend period=18, mult=4.9 |
13.8% | -49.7% | 0.62 | 0.28 | 69.6x | 99 | 57% |
| SMA 크로스오버 fast=21, slow=71 |
12.5% | -46.5% | 0.58 | 0.27 | 48.3x | 121 | 60% |
| EMA 크로스오버 fast=35, slow=81 |
11.4% | -57.2% | 0.53 | 0.20 | 34.8x | 63 | 63% |
| 볼린저 밴드 돌파 n=76, k=2.3 |
8.7% | -49.6% | 0.49 | 0.18 | 15.4x | 94 | 39% |
| ADX / DI 방향성 period=28, threshold=20 |
6.9% | -32.8% | 0.46 | 0.21 | 9.0x | 122 | 28% |
| Keltner 채널 돌파 emaPeriod=58, atrPeriod=18, mult=2.7 |
5.7% | -61.8% | 0.36 | 0.09 | 6.2x | 148 | 43% |
| Parabolic SAR step=0.015, maxStep=0.22 |
-1.0% | -84.5% | 0.10 | -0.01 | 0.7x | 505 | 52% |
| MACD fast=21, slow=34, signal=22 |
-1.8% | -96.1% | 0.08 | -0.02 | 0.5x | 381 | 50% |
| Buy and hold | 10.5% | -84.3% | 0.45 | 0.12 | 26.8x | 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 126-day return is greater than -7%
- Sell — Sell when the 126-day return drops to -7% or below