Trend-Following Backtester · Guide · backtest 한국어
equity · US
Banc of California, Inc. backtest
10 trend-following strategies were compared on the full daily history of Banc of California, Inc.. 5 beat buy-and-hold CAGR; ADX / DI 방향성 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is ADX / DI 방향성 (CAGR 1.3%, MDD -14.0%).
Results by strategy
5 of 10 beat buy and hold (CAGR 1.2%, drawdown -84.6%).
Sharpe leader (same as main): ADX / DI 방향성 — CAGR 1.3%, MDD -14.0%, Sharpe 0.27, 5% exposure.
CAGR reference leader: Donchian 채널 돌파 — CAGR 2.8%, MDD -37.4%, exposure 30%.
Return/drawdown alternative: ADX / DI 방향성 — CAGR is 0.1%p higher than buy and hold, while drawdown improves by 70.6%p (CAGR 1.3%, MDD -14.0%, exposure 5%).
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=33, threshold=27 |
1.3% | -14.0% | 0.27 | 0.09 | 1.4x | 12 | 5% |
| Donchian 채널 돌파 entryN=80, exitN=23 |
2.8% | -37.4% | 0.24 | 0.07 | 1.9x | 52 | 30% |
| EMA 크로스오버 fast=58, slow=108 |
2.2% | -64.3% | 0.21 | 0.03 | 1.7x | 39 | 49% |
| SMA 크로스오버 fast=57, slow=217 |
1.5% | -75.2% | 0.19 | 0.02 | 1.4x | 29 | 49% |
| 볼린저 밴드 돌파 n=40, k=3.1 |
1.4% | -32.0% | 0.18 | 0.04 | 1.4x | 32 | 11% |
| Supertrend period=19, mult=4.9 |
0.8% | -52.8% | 0.15 | 0.01 | 1.2x | 72 | 43% |
| Keltner 채널 돌파 emaPeriod=51, atrPeriod=14, mult=3.2 |
0.1% | -52.5% | 0.08 | 0.00 | 1.0x | 62 | 26% |
| ROC 모멘텀 n=122, threshold=0.04 |
-2.1% | -71.3% | 0.02 | -0.03 | 0.6x | 248 | 42% |
| Parabolic SAR step=0.015, maxStep=0.14 |
-3.8% | -79.1% | -0.01 | -0.05 | 0.4x | 394 | 52% |
| MACD fast=16, slow=62, signal=17 |
-8.9% | -93.2% | -0.19 | -0.10 | 0.1x | 264 | 51% |
| Buy and hold | 1.2% | -84.6% | 0.24 | 0.01 | 1.3x | 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, 33-day) is ≥ 27
- Sell — Sell when direction flips or the trend weakens (ADX < 27)