Trend-Following Backtester · Guide · backtest 한국어
equity · US
Ally Financial Inc. backtest
10 trend-following strategies were compared on the full daily history of Ally Financial Inc.. 5 beat buy-and-hold CAGR; ROC 모멘텀 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is ROC 모멘텀 (CAGR 6.3%, MDD -19.6%).
Results by strategy
5 of 10 beat buy and hold (CAGR 4.1%, drawdown -66.6%).
Sharpe leader (same as main): ROC 모멘텀 — CAGR 6.3%, MDD -19.6%, Sharpe 0.62, 13% exposure.
CAGR reference leader: 볼린저 밴드 돌파 — CAGR 7.7%, MDD -23.7%, exposure 19%.
Return/drawdown alternative: ROC 모멘텀 — CAGR is 2.2%p higher than buy and hold, while drawdown improves by 47.0%p (CAGR 6.3%, MDD -19.6%, exposure 13%).
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 |
|---|---|---|---|---|---|---|---|
| ROC 모멘텀 n=105, threshold=0.27 |
6.3% | -19.6% | 0.62 | 0.32 | 2.2x | 36 | 13% |
| 볼린저 밴드 돌파 n=51, k=3.1 |
7.7% | -23.7% | 0.56 | 0.32 | 2.5x | 18 | 19% |
| ADX / DI 방향성 period=36, threshold=16 |
4.5% | -30.9% | 0.39 | 0.14 | 1.7x | 40 | 18% |
| Donchian 채널 돌파 entryN=125, exitN=52 |
5.2% | -36.1% | 0.38 | 0.14 | 1.9x | 14 | 33% |
| SMA 크로스오버 fast=53, slow=167 |
5.5% | -32.1% | 0.37 | 0.17 | 2.0x | 19 | 46% |
| EMA 크로스오버 fast=74, slow=142 |
4.1% | -38.3% | 0.30 | 0.11 | 1.6x | 21 | 52% |
| Keltner 채널 돌파 emaPeriod=56, atrPeriod=15, mult=3.3 |
2.8% | -37.7% | 0.26 | 0.07 | 1.4x | 30 | 24% |
| Supertrend period=21, mult=4 |
2.6% | -46.1% | 0.23 | 0.06 | 1.4x | 53 | 51% |
| Parabolic SAR step=0.015, maxStep=0.12 |
-2.8% | -66.9% | 0.01 | -0.04 | 0.7x | 214 | 53% |
| MACD fast=9, slow=36, signal=6 |
-9.8% | -86.8% | -0.28 | -0.11 | 0.3x | 338 | 50% |
| Buy and hold | 4.1% | -66.6% | 0.30 | 0.06 | 1.7x | 1 | 100% |
Rules of the top strategy
Rides the trend when recent return (momentum) over a window is above a threshold.
- Buy — Buy when the last 105-day return is greater than 27%
- Sell — Sell when the 105-day return drops to 27% or below