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.. 0 beat buy-and-hold CAGR; 볼린저 밴드 돌파 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is Supertrend (CAGR 9.0%, MDD -52.8%).
Results by strategy
0 of 10 beat buy and hold (CAGR 9.6%, drawdown -81.2%).
Sharpe leader (same as main): 볼린저 밴드 돌파 — CAGR 4.6%, MDD -15.7%, Sharpe 0.49, 10% exposure.
CAGR reference leader: SMA 크로스오버 — CAGR 9.0%, MDD -61.0%, exposure 57%.
Return/drawdown alternative: Supertrend — CAGR is 5.0%p lower than buy and hold, while drawdown improves by 65.5%p (CAGR 9.0%, 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=19, k=2.9 |
4.6% | -15.7% | 0.49 | 0.29 | 2.8x | 46 | 10% |
| Supertrend period=21, mult=3 |
9.0% | -52.8% | 0.46 | 0.17 | 7.2x | 127 | 54% |
| SMA 크로스오버 fast=32, slow=62 |
9.0% | -61.0% | 0.45 | 0.15 | 7.3x | 101 | 57% |
| MACD fast=31, slow=48, signal=26 |
8.0% | -45.6% | 0.42 | 0.18 | 5.9x | 168 | 51% |
| Donchian 채널 돌파 entryN=21, exitN=78 |
8.5% | -60.8% | 0.42 | 0.14 | 6.5x | 49 | 80% |
| Keltner 채널 돌파 emaPeriod=33, atrPeriod=14, mult=1.9 |
3.6% | -45.9% | 0.28 | 0.08 | 2.3x | 136 | 35% |
| ADX / DI 방향성 period=22, threshold=23 |
2.5% | -31.7% | 0.26 | 0.08 | 1.8x | 78 | 15% |
| EMA 크로스오버 fast=57, slow=181 |
3.2% | -69.4% | 0.25 | 0.05 | 2.1x | 41 | 63% |
| Parabolic SAR step=0.005, maxStep=0.18 |
1.4% | -63.4% | 0.19 | 0.02 | 1.4x | 204 | 53% |
| ROC 모멘텀 n=42, threshold=-0.04 |
-0.8% | -74.2% | 0.12 | -0.01 | 0.8x | 357 | 69% |
| Buy and hold | 9.6% | -81.2% | 0.43 | 0.12 | 8.2x | 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 19-day average (2.9× volatility)
- Sell — Sell when the close falls back to the 19-day middle average