Trend-Following Backtester · Guide · backtest 한국어
equity · US
Ponce Financial Group, Inc. backtest
10 trend-following strategies were compared on the full daily history of Ponce Financial Group, Inc.. 3 beat buy-and-hold CAGR; Supertrend ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is ROC 모멘텀 (CAGR 8.6%, MDD -33.1%).
Results by strategy
3 of 10 beat buy and hold (CAGR 7.4%, drawdown -54.4%).
Sharpe leader (same as main): Supertrend — CAGR 11.6%, MDD -34.9%, Sharpe 0.58, 60% exposure.
Return/drawdown alternative: ROC 모멘텀 — CAGR is 4.2%p higher than buy and hold, while drawdown improves by 19.5%p (CAGR 8.6%, MDD -33.1%, exposure 64%).
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 |
|---|---|---|---|---|---|---|---|
| Supertrend period=9, mult=4.5 |
11.6% | -34.9% | 0.58 | 0.33 | 2.6x | 19 | 60% |
| Donchian 채널 돌파 entryN=14, exitN=19 |
9.1% | -39.4% | 0.48 | 0.23 | 2.2x | 45 | 58% |
| ROC 모멘텀 n=148, threshold=-0.03 |
8.6% | -33.1% | 0.48 | 0.26 | 2.1x | 43 | 64% |
| SMA 크로스오버 fast=5, slow=197 |
7.1% | -32.9% | 0.43 | 0.21 | 1.8x | 25 | 58% |
| EMA 크로스오버 fast=6, slow=126 |
6.5% | -30.7% | 0.40 | 0.21 | 1.7x | 35 | 58% |
| MACD fast=25, slow=46, signal=17 |
4.7% | -43.1% | 0.31 | 0.11 | 1.5x | 80 | 47% |
| Keltner 채널 돌파 emaPeriod=29, atrPeriod=20, mult=1.2 |
3.7% | -22.8% | 0.28 | 0.16 | 1.4x | 69 | 37% |
| 볼린저 밴드 돌파 n=29, k=1.5 |
3.4% | -23.9% | 0.26 | 0.14 | 1.3x | 71 | 39% |
| ADX / DI 방향성 period=18, threshold=13 |
3.3% | -30.1% | 0.26 | 0.11 | 1.3x | 127 | 44% |
| Parabolic SAR step=0.005, maxStep=0.32 |
1.1% | -49.9% | 0.16 | 0.02 | 1.1x | 72 | 53% |
| Buy and hold | 7.4% | -54.4% | 0.38 | 0.14 | 1.9x | 1 | 100% |
Rules of the top strategy
Trades the direction of a volatility-based trend line that trails below/above price.
- Buy — Buy when price moves above the trend line (flips up) — 9-day volatility, 4.5× band
- Sell — Sell when price drops below the trend line (flips down)