Trend-Following Backtester · Guide · backtest 한국어
equity · US
Flagstar Bank, N.A. backtest
10 trend-following strategies were compared on the full daily history of Flagstar Bank, N.A.. 6 beat buy-and-hold CAGR; 볼린저 밴드 돌파 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is 볼린저 밴드 돌파 (CAGR 7.8%, MDD -26.3%).
Results by strategy
6 of 10 beat buy and hold (CAGR 4.3%, drawdown -92.5%).
Sharpe leader (same as main): 볼린저 밴드 돌파 — CAGR 7.8%, MDD -26.3%, Sharpe 0.71, 23% exposure.
Return/drawdown alternative: 볼린저 밴드 돌파 — CAGR is 3.5%p higher than buy and hold, while drawdown improves by 66.2%p (CAGR 7.8%, MDD -26.3%, exposure 23%).
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=75, k=2.9 |
7.8% | -26.3% | 0.71 | 0.30 | 11.6x | 34 | 23% |
| Keltner 채널 돌파 emaPeriod=60, atrPeriod=14, mult=3.6 |
5.7% | -45.5% | 0.49 | 0.13 | 6.1x | 64 | 26% |
| ADX / DI 방향성 period=35, threshold=23 |
4.5% | -36.3% | 0.48 | 0.13 | 4.3x | 48 | 17% |
| Donchian 채널 돌파 entryN=110, exitN=31 |
5.4% | -61.0% | 0.43 | 0.09 | 5.7x | 62 | 34% |
| EMA 크로스오버 fast=15, slow=270 |
6.5% | -64.2% | 0.43 | 0.10 | 7.8x | 51 | 52% |
| SMA 크로스오버 fast=58, slow=218 |
4.7% | -81.7% | 0.32 | 0.06 | 4.5x | 45 | 56% |
| Supertrend period=19, mult=4.3 |
1.6% | -78.3% | 0.19 | 0.02 | 1.7x | 121 | 53% |
| ROC 모멘텀 n=86, threshold=0.13 |
-0.2% | -86.3% | 0.06 | -0.00 | 0.9x | 306 | 25% |
| Parabolic SAR step=0.01, maxStep=0.14 |
-3.8% | -94.0% | -0.05 | -0.04 | 0.3x | 424 | 53% |
| MACD fast=16, slow=53, signal=12 |
-7.7% | -98.0% | -0.20 | -0.08 | 0.1x | 452 | 51% |
| Buy and hold | 4.3% | -92.5% | 0.30 | 0.05 | 4.0x | 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 75-day average (2.9× volatility)
- Sell — Sell when the close falls back to the 75-day middle average