Trend-Following Backtester · Guide · backtest 한국어

equity · US

Renasant Corporation backtest

10 trend-following strategies were compared on the full daily history of Renasant Corporation. 0 beat buy-and-hold CAGR; ADX / DI 방향성 ranks first by Sharpe, matching the main backtester.

Data 1992-04-24 ~ 2026-07-31daily bars 8,627 (34.3 years)Costs 0.5%Venue XNYSMonthly snapshot 2026-07-31

Results by strategy

0 of 10 beat buy and hold (CAGR 6.5%, drawdown -74.9%).

Sharpe leader (same as main): ADX / DI 방향성 — CAGR 0.8%, MDD -7.5%, Sharpe 0.30, 1% exposure.

CAGR reference leader: Donchian 채널 돌파 — CAGR 4.5%, MDD -72.7%, exposure 89%.

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 · parametersCAGRMDDSharpeCalmarTotalTradesExposure
ADX / DI 방향성
period=11, threshold=58
0.8%-7.5%0.300.101.3x81%
Donchian 채널 돌파
entryN=15, exitN=124
4.5%-72.7%0.300.064.6x6189%
EMA 크로스오버
fast=59, slow=217
4.2%-66.4%0.290.064.2x3362%
SMA 크로스오버
fast=36, slow=219
3.5%-59.5%0.270.063.3x5959%
볼린저 밴드 돌파
n=69, k=2.8
2.2%-34.9%0.230.062.1x5619%
ROC 모멘텀
n=90, threshold=-0.11
-0.0%-93.1%0.15-0.001.0x22785%
Keltner 채널 돌파
emaPeriod=21, atrPeriod=13, mult=4
-0.8%-60.2%-0.05-0.010.8x525%
Parabolic SAR
step=0.005, maxStep=0.24
-4.6%-92.8%-0.07-0.050.2x28255%
Supertrend
period=9, mult=4.9
-5.7%-90.9%-0.10-0.060.1x17356%
MACD
fast=28, slow=59, signal=36
-7.8%-96.9%-0.20-0.080.1x29949%
Buy and hold6.5%-74.9%0.350.098.6x1100%
1x 1993 1998 2003 2008 2013 2018 2023 Donchian 채널 돌파ADX / DI 방향성Buy and hold
ADX / DI 방향성 (Sharpe leader), Donchian 채널 돌파 (CAGR reference), Buy and hold.
0% -19% -37% -56% -75% 1993 1998 2003 2008 2013 2018 2023 Buy and holdDonchian 채널 돌파ADX / DI 방향성
ADX / DI 방향성 maximum drawdown -7.5% (1997-12-10 → 2012-08-14), prior peak not yet recovered.

Rules of the top strategy

Looks at both the direction and the strength of the trend; holds only in a strong uptrend.

Method and caveats

Past performance does not guarantee future returns. Parameters were carried forward from the latest full optimization and replayed on this monthly dataset. 0.5% trading costs are included; taxes, slippage and rejected orders are not.
Re-optimize the same period and setupAll asset reports

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