Trend-Following Backtester · Guide · backtest 한국어
equity · US
Provident Financial Services, Inc backtest
10 trend-following strategies were compared on the full daily history of Provident Financial Services, Inc. 1 beat buy-and-hold CAGR; Keltner 채널 돌파 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is SMA 크로스오버 (CAGR 3.2%, MDD -49.1%).
Results by strategy
1 of 10 beat buy and hold (CAGR 1.7%, drawdown -66.5%).
Sharpe leader (same as main): Keltner 채널 돌파 — CAGR 0.3%, MDD -2.1%, Sharpe 0.27, 0% exposure.
CAGR reference leader: SMA 크로스오버 — CAGR 3.2%, MDD -49.1%, exposure 53%.
Return/drawdown alternative: SMA 크로스오버 — CAGR is 1.5%p lower than buy and hold, while drawdown improves by 64.5%p (CAGR 3.2%, MDD -49.1%, exposure 53%).
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 |
|---|---|---|---|---|---|---|---|
| Keltner 채널 돌파 emaPeriod=8, atrPeriod=24, mult=3.8 |
0.3% | -2.1% | 0.27 | 0.13 | 1.1x | 2 | 0% |
| SMA 크로스오버 fast=145, slow=191 |
3.2% | -49.1% | 0.25 | 0.06 | 2.1x | 45 | 53% |
| Donchian 채널 돌파 entryN=5, exitN=65 |
1.2% | -67.2% | 0.19 | 0.02 | 1.3x | 81 | 89% |
| 볼린저 밴드 돌파 n=49, k=3.5 |
1.0% | -25.7% | 0.16 | 0.04 | 1.3x | 14 | 6% |
| EMA 크로스오버 fast=65, slow=213 |
-1.0% | -51.2% | 0.05 | -0.02 | 0.8x | 31 | 55% |
| Supertrend period=22, mult=4.9 |
-3.0% | -75.3% | -0.01 | -0.04 | 0.5x | 67 | 59% |
| MACD fast=31, slow=37, signal=38 |
-3.4% | -77.4% | -0.03 | -0.04 | 0.4x | 188 | 49% |
| ADX / DI 방향성 period=32, threshold=34 |
-0.1% | -7.9% | -0.04 | -0.01 | 1.0x | 2 | 1% |
| Parabolic SAR step=0.01, maxStep=0.14 |
-5.4% | -84.5% | -0.13 | -0.06 | 0.3x | 342 | 50% |
| ROC 모멘텀 n=118, threshold=0.03 |
-7.9% | -91.5% | -0.34 | -0.09 | 0.1x | 333 | 43% |
| Buy and hold | 1.7% | -66.5% | 0.22 | 0.03 | 1.5x | 1 | 100% |
Rules of the top strategy
Breaking above the channel top (average plus a multiple of volatility) signals an upside breakout.
- Buy — Buy when the close breaks above the 8-day average + 3.8× volatility (Keltner top)
- Sell — Sell when the close falls back to the 8-day average