Trend-Following Backtester · Guide · backtest 한국어
equity · US
Atlantic Union Bankshares Corporation backtest
10 trend-following strategies were compared on the full daily history of Atlantic Union Bankshares Corporation. 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 5.8%, drawdown -72.4%).
Sharpe leader (same as main): 볼린저 밴드 돌파 — CAGR 3.1%, MDD -32.1%, Sharpe 0.30, 10% exposure.
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=98, k=3.5 |
3.1% | -32.1% | 0.30 | 0.10 | 2.7x | 12 | 10% |
| SMA 크로스오버 fast=55, slow=120 |
2.7% | -62.2% | 0.24 | 0.04 | 2.4x | 75 | 58% |
| EMA 크로스오버 fast=74, slow=85 |
1.3% | -66.8% | 0.19 | 0.02 | 1.5x | 61 | 58% |
| Donchian 채널 돌파 entryN=16, exitN=97 |
-2.7% | -90.5% | 0.12 | -0.03 | 0.4x | 89 | 84% |
| ADX / DI 방향성 period=37, threshold=22 |
-0.1% | -23.8% | 0.01 | -0.01 | 1.0x | 30 | 4% |
| ROC 모멘텀 n=103, threshold=-0.04 |
-5.4% | -91.0% | -0.02 | -0.06 | 0.2x | 371 | 66% |
| Supertrend period=7, mult=4.7 |
-9.7% | -97.7% | -0.16 | -0.10 | 0.0x | 159 | 54% |
| Parabolic SAR step=0.01, maxStep=0.34 |
-11.2% | -98.8% | -0.23 | -0.11 | 0.0x | 435 | 53% |
| Keltner 채널 돌파 emaPeriod=32, atrPeriod=15, mult=3.9 |
-3.5% | -70.5% | -0.23 | -0.05 | 0.3x | 53 | 7% |
| MACD fast=15, slow=34, signal=15 |
-15.7% | -99.8% | -0.40 | -0.16 | 0.0x | 522 | 50% |
| Buy and hold | 5.8% | -72.4% | 0.35 | 0.08 | 6.3x | 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 98-day average (3.5× volatility)
- Sell — Sell when the close falls back to the 98-day middle average