Trend-Following Backtester · Guide · backtest 한국어
equity · US
Prosperity Bancshares, Inc. backtest
10 trend-following strategies were compared on the full daily history of Prosperity Bancshares, Inc.. 0 beat buy-and-hold CAGR; ROC 모멘텀 ranks first by Sharpe, matching the main backtester. Its 99% market exposure makes it hold-like.
Results by strategy
0 of 10 beat buy and hold (CAGR 9.4%, drawdown -49.7%).
Sharpe leader (same as main): ROC 모멘텀 — CAGR 8.5%, MDD -54.3%, Sharpe 0.42, 99% exposure. With at least 95% exposure, it should be treated as hold-like, not strong evidence of timing skill.
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 · parameters | CAGR | MDD | Sharpe | Calmar | Total | Trades | Exposure |
|---|---|---|---|---|---|---|---|
| ROC 모멘텀 Hold-like · Exposure 99% n=11, threshold=-0.15 |
8.5% | -54.3% | 0.42 | 0.16 | 9.6x | 37 | 99% |
| SMA 크로스오버 fast=40, slow=85 |
4.5% | -55.6% | 0.31 | 0.08 | 3.4x | 91 | 58% |
| Donchian 채널 돌파 entryN=20, exitN=78 |
4.1% | -57.9% | 0.28 | 0.07 | 3.1x | 65 | 81% |
| Keltner 채널 돌파 emaPeriod=37, atrPeriod=16, mult=3.8 |
1.4% | -22.7% | 0.23 | 0.06 | 1.5x | 32 | 10% |
| 볼린저 밴드 돌파 n=30, k=3.4 |
0.9% | -10.3% | 0.22 | 0.09 | 1.3x | 16 | 4% |
| Supertrend period=24, mult=3.2 |
1.6% | -55.1% | 0.18 | 0.03 | 1.5x | 169 | 59% |
| EMA 크로스오버 fast=50, slow=85 |
0.9% | -66.1% | 0.15 | 0.01 | 1.3x | 65 | 63% |
| ADX / DI 방향성 period=19, threshold=28 |
-0.2% | -25.3% | 0.01 | -0.01 | 1.0x | 60 | 9% |
| Parabolic SAR step=0.005, maxStep=0.1 |
-3.2% | -82.7% | -0.04 | -0.04 | 0.4x | 253 | 54% |
| MACD fast=13, slow=22, signal=13 |
-6.9% | -93.1% | -0.22 | -0.07 | 0.1x | 487 | 50% |
| Buy and hold | 9.4% | -49.7% | 0.44 | 0.19 | 12.0x | 1 | 100% |
Rules of the top strategy
Rides the trend when recent return (momentum) over a window is above a threshold.
- Buy — Buy when the last 11-day return is greater than -15%
- Sell — Sell when the 11-day return drops to -15% or below