Trend-Following Backtester · Guide · backtest 한국어
equity · US
TrustCo Bank Corp NY backtest
10 trend-following strategies were compared on the full daily history of TrustCo Bank Corp NY. 0 beat buy-and-hold CAGR; ADX / DI 방향성 ranks first by Sharpe, matching the main backtester.
Results by strategy
0 of 10 beat buy and hold (CAGR 7.1%, drawdown -72.2%).
Sharpe leader (same as main): ADX / DI 방향성 — CAGR 1.8%, MDD -13.2%, Sharpe 0.50, 4% exposure.
CAGR reference leader: SMA 크로스오버 — CAGR 4.5%, MDD -63.5%, exposure 57%.
No strategy retained at least 75% of buy-and-hold CAGR while reducing drawdown by both 20% relatively and 5 percentage points absolutely.
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=22, threshold=45 |
1.8% | -13.2% | 0.50 | 0.14 | 2.2x | 4 | 4% |
| SMA 크로스오버 fast=51, slow=86 |
4.5% | -63.5% | 0.29 | 0.07 | 6.7x | 129 | 57% |
| Donchian 채널 돌파 entryN=40, exitN=78 |
3.3% | -71.9% | 0.25 | 0.05 | 4.0x | 95 | 66% |
| EMA 크로스오버 fast=31, slow=50 |
2.5% | -77.5% | 0.22 | 0.03 | 2.9x | 161 | 58% |
| Supertrend period=11, mult=4.5 |
-0.1% | -89.7% | 0.12 | -0.00 | 1.0x | 119 | 57% |
| MACD fast=31, slow=68, signal=24 |
-1.8% | -90.8% | 0.05 | -0.02 | 0.4x | 319 | 49% |
| Parabolic SAR step=0.005, maxStep=0.2 |
-2.1% | -93.4% | 0.04 | -0.02 | 0.4x | 337 | 54% |
| Keltner 채널 돌파 emaPeriod=19, atrPeriod=14, mult=4 |
-0.5% | -53.0% | 0.00 | -0.01 | 0.8x | 22 | 3% |
| 볼린저 밴드 돌파 n=49, k=2.8 |
-2.0% | -86.7% | -0.04 | -0.02 | 0.4x | 114 | 20% |
| ROC 모멘텀 n=116, threshold=-0.04 |
-7.2% | -99.6% | -0.10 | -0.07 | 0.0x | 567 | 69% |
| Buy and hold | 7.1% | -72.2% | 0.36 | 0.10 | 19.8x | 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, 22-day) is ≥ 45
- Sell — Sell when direction flips or the trend weakens (ADX < 45)