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 9.9%, MDD -35.4%).

Data 2014-09-24 ~ 2026-07-31daily bars 2,980 (11.8 years)Costs 0.5%Venue XNYSMonthly snapshot 2026-07-31

Results by strategy

1 of 10 beat buy and hold (CAGR 10.0%, drawdown -68.0%).

Sharpe leader (same as main): ROC 모멘텀 — CAGR 9.9%, MDD -35.4%, Sharpe 0.54, 52% exposure.

CAGR reference leader: Donchian 채널 돌파 — CAGR 11.2%, 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 9.9%, MDD -35.4%, exposure 52%).

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 · parametersCAGRMDDSharpeCalmarTotalTradesExposure
ROC 모멘텀
n=138, threshold=0.03
9.9%-35.4%0.540.283.1x6552%
Donchian 채널 돌파
entryN=14, exitN=75
11.2%-60.0%0.510.193.5x3584%
Supertrend
period=19, mult=4.9
8.2%-42.6%0.450.192.5x3756%
ADX / DI 방향성
period=35, threshold=7
7.6%-50.1%0.430.152.4x13357%
SMA 크로스오버
fast=7, slow=134
7.4%-45.1%0.430.162.3x3958%
Parabolic SAR
step=0.005, maxStep=0.18
7.1%-47.5%0.400.152.3x10654%
EMA 크로스오버
fast=21, slow=207
5.9%-49.0%0.370.122.0x2355%
Keltner 채널 돌파
emaPeriod=41, atrPeriod=24, mult=0.8
5.6%-49.7%0.370.111.9x11750%
볼린저 밴드 돌파
n=74, k=1.7
4.3%-42.5%0.310.101.6x4339%
MACD
fast=15, slow=58, signal=12
4.6%-51.9%0.310.091.7x14851%
Buy and hold10.0%-68.0%0.440.153.1x1100%
1x 2015 2017 2019 2021 2023 2025 Donchian 채널 돌파ROC 모멘텀Buy and hold
ROC 모멘텀 (Sharpe leader), Donchian 채널 돌파 (CAGR reference), Buy and hold.
0% -17% -34% -51% -68% 2015 2017 2019 2021 2023 2025 Buy and holdDonchian 채널 돌파ROC 모멘텀
ROC 모멘텀 maximum drawdown -35.4% (2021-05-17 → 2023-11-27), recovered after 1,163 days.

Rules of the top strategy

Rides the trend when recent return (momentum) over a window is above a threshold.

Method and caveats

Past performance does not guarantee future returns. Parameters were carried forward from the latest full optimization and replayed on this monthly dataset. 0.5% trading costs are included; taxes, slippage and rejected orders are not.
Re-optimize the same period and setupAll asset reports

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