Trend-Following Backtester · Guide · backtest 한국어

equity · US

Capital One Financial Corporation backtest

10 trend-following strategies were compared on the full daily history of Capital One Financial Corporation. 0 beat buy-and-hold CAGR; ADX / DI 방향성 ranks first by Sharpe, matching the main backtester.

Data 1994-11-16 ~ 2026-07-31daily bars 7,978 (31.7 years)Costs 0.5%Venue XNYSMonthly snapshot 2026-07-31

Results by strategy

0 of 10 beat buy and hold (CAGR 12.2%, drawdown -90.8%).

Sharpe leader (same as main): ADX / DI 방향성 — CAGR 1.8%, MDD -14.5%, Sharpe 0.40, 2% exposure.

CAGR reference leader: SMA 크로스오버 — CAGR 6.8%, MDD -73.4%, exposure 59%.

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 · parametersCAGRMDDSharpeCalmarTotalTradesExposure
ADX / DI 방향성
period=36, threshold=31
1.8%-14.5%0.400.131.8x22%
SMA 크로스오버
fast=26, slow=140
6.8%-73.4%0.380.098.0x8759%
Donchian 채널 돌파
entryN=21, exitN=44
5.7%-82.4%0.330.075.8x12171%
EMA 크로스오버
fast=37, slow=86
5.4%-81.6%0.330.075.3x8562%
Supertrend
period=11, mult=4.9
5.2%-79.6%0.320.075.0x10955%
ROC 모멘텀
n=127, threshold=-0.03
3.9%-83.5%0.280.053.3x26266%
Parabolic SAR
step=0.005, maxStep=0.28
2.7%-71.5%0.240.042.3x28357%
MACD
fast=29, slow=38, signal=17
2.5%-74.4%0.240.032.2x33152%
Keltner 채널 돌파
emaPeriod=58, atrPeriod=27, mult=3.8
1.6%-64.1%0.180.021.7x8827%
볼린저 밴드 돌파
n=16, k=3.2
0.8%-23.3%0.170.031.3x162%
Buy and hold12.2%-90.8%0.480.1339.0x1100%
1x 10x 1995 1999 2003 2007 2011 2015 2019 2023 SMA 크로스오버ADX / DI 방향성Buy and hold
ADX / DI 방향성 (Sharpe leader), SMA 크로스오버 (CAGR reference), Buy and hold.
0% -23% -45% -68% -91% 1995 1999 2003 2007 2011 2015 2019 2023 Buy and holdSMA 크로스오버ADX / DI 방향성
ADX / DI 방향성 maximum drawdown -14.5% (1998-07-14 → 1998-08-04), prior peak not yet recovered.

Rules of the top strategy

Looks at both the direction and the strength of the trend; holds only in a strong uptrend.

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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