Trend-Following Backtester · Guide · backtest 한국어
equity · US
Citizens Financial Group, Inc. backtest
10 trend-following strategies were compared on the full daily history of Citizens Financial Group, Inc.. 1 beat buy-and-hold CAGR; ROC 모멘텀 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is ROC 모멘텀 (CAGR 9.5%, MDD -35.4%).
Results by strategy
1 of 10 beat buy and hold (CAGR 9.5%, drawdown -68.0%).
Sharpe leader (same as main): ROC 모멘텀 — CAGR 9.5%, MDD -35.4%, Sharpe 0.52, 53% exposure.
CAGR reference leader: Donchian 채널 돌파 — CAGR 10.8%, MDD -60.0%, exposure 84%.
Return/drawdown alternative: ROC 모멘텀 — CAGR is 0.1%p lower than buy and hold, while drawdown improves by 32.6%p (CAGR 9.5%, MDD -35.4%, exposure 53%).
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=138, threshold=0.03 |
9.5% | -35.4% | 0.52 | 0.27 | 3.0x | 65 | 53% |
| Donchian 채널 돌파 entryN=14, exitN=75 |
10.8% | -60.0% | 0.49 | 0.18 | 3.4x | 35 | 84% |
| Supertrend period=19, mult=4.9 |
7.8% | -42.6% | 0.44 | 0.18 | 2.4x | 37 | 56% |
| ADX / DI 방향성 period=35, threshold=7 |
7.3% | -50.1% | 0.42 | 0.15 | 2.3x | 134 | 57% |
| SMA 크로스오버 fast=7, slow=134 |
7.0% | -45.1% | 0.41 | 0.16 | 2.2x | 39 | 58% |
| Parabolic SAR step=0.005, maxStep=0.18 |
6.4% | -47.5% | 0.38 | 0.13 | 2.1x | 108 | 53% |
| Keltner 채널 돌파 emaPeriod=41, atrPeriod=24, mult=0.8 |
5.5% | -49.7% | 0.36 | 0.11 | 1.9x | 118 | 50% |
| EMA 크로스오버 fast=21, slow=207 |
5.5% | -49.0% | 0.35 | 0.11 | 1.9x | 23 | 55% |
| MACD fast=15, slow=58, signal=12 |
4.4% | -51.9% | 0.30 | 0.09 | 1.7x | 150 | 50% |
| 볼린저 밴드 돌파 n=74, k=1.7 |
3.9% | -42.5% | 0.29 | 0.09 | 1.6x | 43 | 40% |
| Buy and hold | 9.5% | -68.0% | 0.43 | 0.14 | 3.0x | 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 138-day return is greater than 3%
- Sell — Sell when the 138-day return drops to 3% or below