Trend-Following Backtester · Guide · backtest 한국어
equity · US
Columbia Financial, Inc. backtest
10 trend-following strategies were compared on the full daily history of Columbia Financial, Inc.. 2 beat buy-and-hold CAGR; ADX / DI 방향성 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is Donchian 채널 돌파 (CAGR 5.9%, MDD -28.8%).
Results by strategy
2 of 10 beat buy and hold (CAGR 5.3%, drawdown -42.7%).
Sharpe leader (same as main): ADX / DI 방향성 — CAGR 2.3%, MDD -5.5%, Sharpe 0.54, 3% exposure.
CAGR reference leader: SMA 크로스오버 — CAGR 6.5%, MDD -31.1%, exposure 49%.
Return/drawdown alternative: Donchian 채널 돌파 — CAGR is 3.0%p lower than buy and hold, while drawdown improves by 37.1%p (CAGR 5.9%, MDD -28.8%, exposure 38%).
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 |
|---|---|---|---|---|---|---|---|
| ADX / DI 방향성 period=47, threshold=17 |
2.3% | -5.5% | 0.54 | 0.41 | 1.2x | 7 | 3% |
| Donchian 채널 돌파 entryN=54, exitN=33 |
5.9% | -28.8% | 0.44 | 0.21 | 1.6x | 15 | 38% |
| SMA 크로스오버 fast=53, slow=185 |
6.5% | -31.1% | 0.41 | 0.21 | 1.7x | 9 | 49% |
| Supertrend period=15, mult=5 |
4.4% | -46.3% | 0.33 | 0.10 | 1.4x | 17 | 45% |
| EMA 크로스오버 fast=28, slow=142 |
4.3% | -37.1% | 0.32 | 0.12 | 1.4x | 15 | 50% |
| 볼린저 밴드 돌파 n=77, k=2.1 |
2.3% | -38.0% | 0.25 | 0.06 | 1.2x | 19 | 30% |
| Keltner 채널 돌파 emaPeriod=55, atrPeriod=22, mult=3.9 |
0.9% | -29.6% | 0.15 | 0.03 | 1.1x | 11 | 16% |
| ROC 모멘텀 n=145, threshold=0.05 |
-0.8% | -43.1% | 0.03 | -0.02 | 0.9x | 67 | 39% |
| MACD fast=19, slow=29, signal=18 |
-5.5% | -59.2% | -0.17 | -0.09 | 0.6x | 97 | 49% |
| Parabolic SAR step=0.01, maxStep=0.26 |
-5.7% | -67.5% | -0.18 | -0.08 | 0.6x | 111 | 54% |
| Buy and hold | 5.3% | -42.7% | 0.32 | 0.12 | 1.5x | 1 | 100% |
Rules of the top strategy
Looks at both the direction and the strength of the trend; holds only in a strong uptrend.
- Buy — Buy when up-direction (+DI) beats down-direction (−DI) and trend strength (ADX, 47-day) is ≥ 17
- Sell — Sell when direction flips or the trend weakens (ADX < 17)