Trend-Following Backtester · Guide · backtest 한국어
equity · US
Pinnacle Financial Partners, Inc. backtest
10 trend-following strategies were compared on the full daily history of Pinnacle Financial Partners, Inc.. 1 beat buy-and-hold CAGR; ADX / DI 방향성 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is SMA 크로스오버 (CAGR 12.4%, MDD -56.1%).
Results by strategy
1 of 10 beat buy and hold (CAGR 12.4%, drawdown -77.2%).
Sharpe leader (same as main): ADX / DI 방향성 — CAGR 5.1%, MDD -13.9%, Sharpe 0.66, 8% exposure.
CAGR reference leader: SMA 크로스오버 — CAGR 12.4%, MDD -56.1%, exposure 63%.
Return/drawdown alternative: SMA 크로스오버 — CAGR is 7.3%p lower than buy and hold, while drawdown improves by 63.3%p (CAGR 12.4%, MDD -56.1%, exposure 63%).
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=31, threshold=30 |
5.1% | -13.9% | 0.66 | 0.37 | 3.7x | 12 | 8% |
| SMA 크로스오버 fast=49, slow=203 |
12.4% | -56.1% | 0.56 | 0.22 | 21.1x | 33 | 63% |
| EMA 크로스오버 fast=49, slow=283 |
11.5% | -62.0% | 0.55 | 0.18 | 16.8x | 17 | 64% |
| Donchian 채널 돌파 entryN=108, exitN=34 |
6.5% | -41.4% | 0.41 | 0.16 | 5.1x | 53 | 43% |
| ROC 모멘텀 n=148, threshold=0.06 |
3.8% | -76.0% | 0.27 | 0.05 | 2.6x | 249 | 55% |
| 볼린저 밴드 돌파 n=57, k=2.8 |
2.8% | -41.5% | 0.25 | 0.07 | 2.0x | 64 | 25% |
| Supertrend period=9, mult=5 |
2.5% | -74.2% | 0.23 | 0.03 | 1.9x | 85 | 61% |
| Keltner 채널 돌파 emaPeriod=56, atrPeriod=17, mult=3.1 |
2.5% | -51.4% | 0.23 | 0.05 | 1.9x | 92 | 34% |
| MACD fast=31, slow=58, signal=24 |
-1.0% | -74.5% | 0.10 | -0.01 | 0.8x | 206 | 49% |
| Parabolic SAR step=0.02, maxStep=0.3 |
-4.8% | -84.0% | -0.03 | -0.06 | 0.3x | 580 | 53% |
| Buy and hold | 12.4% | -77.2% | 0.49 | 0.16 | 20.9x | 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, 31-day) is ≥ 30
- Sell — Sell when direction flips or the trend weakens (ADX < 30)