Trend-Following Backtester · Guide · backtest 한국어
equity · US
Fifth Third Bancorp backtest
10 trend-following strategies were compared on the full daily history of Fifth Third Bancorp. 4 beat buy-and-hold CAGR; ADX / DI 방향성 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is EMA 크로스오버 (CAGR 11.6%, MDD -42.5%).
Results by strategy
4 of 10 beat buy and hold (CAGR 10.5%, drawdown -98.5%).
Sharpe leader (same as main): ADX / DI 방향성 — CAGR 2.4%, MDD -15.9%, Sharpe 0.70, 7% exposure.
CAGR reference leader: EMA 크로스오버 — CAGR 11.6%, MDD -42.5%, exposure 67%.
Return/drawdown alternative: EMA 크로스오버 — CAGR is 8.1%p lower than buy and hold, while drawdown improves by 82.6%p (CAGR 11.6%, MDD -42.5%, exposure 67%).
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=40, threshold=44 |
2.4% | -15.9% | 0.70 | 0.15 | 3.0x | 8 | 7% |
| EMA 크로스오버 fast=59, slow=168 |
11.6% | -42.5% | 0.64 | 0.27 | 164.4x | 45 | 67% |
| SMA 크로스오버 fast=46, slow=219 |
11.6% | -51.1% | 0.63 | 0.23 | 160.3x | 51 | 67% |
| Donchian 채널 돌파 entryN=88, exitN=102 |
10.8% | -42.8% | 0.61 | 0.25 | 115.0x | 47 | 65% |
| Supertrend period=24, mult=4.8 |
11.1% | -75.5% | 0.55 | 0.15 | 132.8x | 125 | 59% |
| Keltner 채널 돌파 emaPeriod=70, atrPeriod=26, mult=2.7 |
6.4% | -61.7% | 0.46 | 0.10 | 17.4x | 153 | 41% |
| ROC 모멘텀 n=143, threshold=-0.02 |
7.4% | -70.2% | 0.45 | 0.11 | 27.6x | 303 | 68% |
| Parabolic SAR step=0.005, maxStep=0.36 |
7.4% | -90.0% | 0.41 | 0.08 | 27.9x | 388 | 55% |
| 볼린저 밴드 돌파 n=53, k=1.5 |
6.4% | -80.1% | 0.39 | 0.08 | 17.9x | 233 | 43% |
| MACD fast=14, slow=46, signal=18 |
3.8% | -95.6% | 0.27 | 0.04 | 5.6x | 572 | 51% |
| Buy and hold | 10.5% | -98.5% | 0.45 | 0.11 | 103.5x | 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, 40-day) is ≥ 44
- Sell — Sell when direction flips or the trend weakens (ADX < 44)