Trend-Following Backtester · Guide · backtest 한국어
equity · US
Annaly Capital Management Inc. backtest
10 trend-following strategies were compared on the full daily history of Annaly Capital Management Inc.. 5 beat buy-and-hold CAGR; 볼린저 밴드 돌파 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is Keltner 채널 돌파 (CAGR -0.0%, MDD -10.9%).
Results by strategy
5 of 10 beat buy and hold (CAGR -2.8%, drawdown -82.6%).
Sharpe leader (same as main): 볼린저 밴드 돌파 — CAGR 0.7%, MDD -11.7%, Sharpe 0.19, 2% exposure.
Return/drawdown alternative: Keltner 채널 돌파 — CAGR is 3.4%p higher than buy and hold, while drawdown improves by 70.9%p (CAGR -0.0%, MDD -10.9%, exposure 1%).
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=20, k=3.5 |
0.7% | -11.7% | 0.19 | 0.06 | 1.2x | 10 | 2% |
| SMA 크로스오버 fast=67, slow=180 |
-1.4% | -74.6% | 0.02 | -0.02 | 0.7x | 52 | 47% |
| Donchian 채널 돌파 entryN=96, exitN=53 |
-1.1% | -62.2% | 0.00 | -0.02 | 0.7x | 46 | 38% |
| Keltner 채널 돌파 emaPeriod=10, atrPeriod=10, mult=2.9 |
-0.0% | -10.9% | -0.01 | -0.00 | 1.0x | 6 | 1% |
| ADX / DI 방향성 period=39, threshold=21 |
-0.2% | -13.8% | -0.03 | -0.02 | 0.9x | 18 | 2% |
| Supertrend period=28, mult=4.6 |
-2.9% | -73.4% | -0.04 | -0.04 | 0.4x | 101 | 51% |
| MACD fast=31, slow=39, signal=28 |
-3.1% | -67.9% | -0.05 | -0.05 | 0.4x | 239 | 54% |
| Parabolic SAR step=0.005, maxStep=0.36 |
-4.0% | -77.9% | -0.11 | -0.05 | 0.3x | 237 | 54% |
| EMA 크로스오버 fast=36, slow=54 |
-3.7% | -83.5% | -0.13 | -0.04 | 0.3x | 103 | 50% |
| ROC 모멘텀 n=128, threshold=0.12 |
-3.8% | -83.7% | -0.29 | -0.05 | 0.3x | 214 | 19% |
| Buy and hold | -2.8% | -82.6% | 0.06 | -0.03 | 0.4x | 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 20-day average (3.5× volatility)
- Sell — Sell when the close falls back to the 20-day middle average