Trend-Following Backtester · Guide · backtest 한국어
equity · US
BankUnited, Inc. backtest
10 trend-following strategies were compared on the full daily history of BankUnited, Inc.. 4 beat buy-and-hold CAGR; 볼린저 밴드 돌파 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is ROC 모멘텀 (CAGR 3.4%, MDD -35.1%).
Results by strategy
4 of 10 beat buy and hold (CAGR 3.2%, drawdown -68.4%).
Sharpe leader (same as main): 볼린저 밴드 돌파 — CAGR 2.2%, MDD -12.6%, Sharpe 0.41, 2% exposure.
CAGR reference leader: SMA 크로스오버 — CAGR 5.1%, MDD -37.1%, exposure 54%.
Return/drawdown alternative: ROC 모멘텀 — CAGR is 1.0%p lower than buy and hold, while drawdown improves by 55.8%p (CAGR 3.4%, MDD -35.1%, exposure 25%).
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=21, k=3.3 |
2.2% | -12.6% | 0.41 | 0.18 | 1.4x | 6 | 2% |
| SMA 크로스오버 fast=43, slow=178 |
5.1% | -37.1% | 0.34 | 0.14 | 2.2x | 23 | 54% |
| Donchian 채널 돌파 entryN=77, exitN=63 |
4.5% | -56.0% | 0.31 | 0.08 | 2.0x | 23 | 60% |
| ROC 모멘텀 n=122, threshold=0.14 |
3.4% | -35.1% | 0.29 | 0.10 | 1.7x | 104 | 25% |
| EMA 크로스오버 fast=53, slow=141 |
3.2% | -40.6% | 0.26 | 0.08 | 1.6x | 27 | 55% |
| Keltner 채널 돌파 emaPeriod=46, atrPeriod=29, mult=3.6 |
1.1% | -34.3% | 0.15 | 0.03 | 1.2x | 32 | 17% |
| ADX / DI 방향성 period=33, threshold=13 |
1.0% | -46.3% | 0.15 | 0.02 | 1.2x | 102 | 31% |
| Supertrend period=8, mult=2.2 |
0.2% | -45.8% | 0.12 | 0.00 | 1.0x | 158 | 52% |
| Parabolic SAR step=0.015, maxStep=0.14 |
-1.3% | -55.5% | 0.06 | -0.02 | 0.8x | 278 | 51% |
| MACD fast=12, slow=41, signal=19 |
-1.9% | -58.1% | 0.04 | -0.03 | 0.7x | 200 | 49% |
| Buy and hold | 3.2% | -68.4% | 0.27 | 0.05 | 1.6x | 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 21-day average (3.3× volatility)
- Sell — Sell when the close falls back to the 21-day middle average