Trend-Following Backtester · Guide · backtest 한국어
equity · US
Valley National Bancorp backtest
10 trend-following strategies were compared on the full daily history of Valley National Bancorp. 0 beat buy-and-hold CAGR; 볼린저 밴드 돌파 ranks first by Sharpe, matching the main backtester.
Results by strategy
0 of 10 beat buy and hold (CAGR 4.1%, drawdown -68.8%).
Sharpe leader (same as main): 볼린저 밴드 돌파 — CAGR 2.0%, MDD -25.3%, Sharpe 0.30, 6% exposure.
CAGR reference leader: SMA 크로스오버 — CAGR 3.4%, MDD -61.7%, exposure 53%.
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 |
|---|---|---|---|---|---|---|---|
| 볼린저 밴드 돌파 n=58, k=3.5 |
2.0% | -25.3% | 0.30 | 0.08 | 2.1x | 16 | 6% |
| SMA 크로스오버 fast=58, slow=115 |
3.4% | -61.7% | 0.26 | 0.06 | 3.4x | 89 | 53% |
| ADX / DI 방향성 period=58, threshold=27 |
1.0% | -8.0% | 0.22 | 0.12 | 1.4x | 4 | 1% |
| Keltner 채널 돌파 emaPeriod=13, atrPeriod=16, mult=3.7 |
0.6% | -15.3% | 0.19 | 0.04 | 1.2x | 16 | 2% |
| EMA 크로스오버 fast=59, slow=181 |
0.5% | -77.2% | 0.13 | 0.01 | 1.2x | 59 | 57% |
| Donchian 채널 돌파 entryN=25, exitN=70 |
-0.5% | -86.7% | 0.12 | -0.01 | 0.8x | 101 | 77% |
| Supertrend period=27, mult=3.3 |
-0.2% | -86.2% | 0.11 | -0.00 | 0.9x | 201 | 54% |
| ROC 모멘텀 n=192, threshold=0.13 |
-2.9% | -88.2% | -0.10 | -0.03 | 0.3x | 249 | 29% |
| MACD fast=25, slow=28, signal=24 |
-6.7% | -94.5% | -0.19 | -0.07 | 0.1x | 430 | 50% |
| Parabolic SAR step=0.015, maxStep=0.36 |
-7.5% | -98.2% | -0.22 | -0.08 | 0.1x | 652 | 51% |
| Buy and hold | 4.1% | -68.8% | 0.29 | 0.06 | 4.3x | 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 58-day average (3.5× volatility)
- Sell — Sell when the close falls back to the 58-day middle average