Trend-Following Backtester · Guide · backtest 한국어
equity · US
Trinity Capital Inc. backtest
10 trend-following strategies were compared on the full daily history of Trinity Capital Inc.. 2 beat buy-and-hold CAGR; 볼린저 밴드 돌파 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is 볼린저 밴드 돌파 (CAGR 3.6%, MDD -21.1%).
Results by strategy
2 of 10 beat buy and hold (CAGR 2.8%, drawdown -49.1%).
Sharpe leader (same as main): 볼린저 밴드 돌파 — CAGR 3.6%, MDD -21.1%, Sharpe 0.30, 39% exposure.
CAGR reference leader: ADX / DI 방향성 — CAGR 3.8%, MDD -22.2%, exposure 45%.
Return/drawdown alternative: 볼린저 밴드 돌파 — CAGR is 0.8%p higher than buy and hold, while drawdown improves by 28.0%p (CAGR 3.6%, MDD -21.1%, exposure 39%).
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=32, k=1.1 |
3.6% | -21.1% | 0.30 | 0.17 | 1.2x | 44 | 39% |
| ADX / DI 방향성 period=20, threshold=11 |
3.8% | -22.2% | 0.30 | 0.17 | 1.2x | 62 | 45% |
| Donchian 채널 돌파 entryN=25, exitN=24 |
2.6% | -30.6% | 0.24 | 0.09 | 1.2x | 23 | 48% |
| EMA 크로스오버 fast=10, slow=49 |
1.9% | -25.6% | 0.20 | 0.08 | 1.1x | 25 | 54% |
| Supertrend period=26, mult=2.6 |
0.9% | -43.4% | 0.15 | 0.02 | 1.1x | 33 | 58% |
| ROC 모멘텀 n=132, threshold=-0.02 |
0.2% | -35.0% | 0.10 | 0.01 | 1.0x | 45 | 59% |
| SMA 크로스오버 fast=17, slow=42 |
-0.2% | -25.6% | 0.08 | -0.01 | 1.0x | 37 | 50% |
| MACD fast=23, slow=53, signal=24 |
-1.9% | -33.8% | -0.02 | -0.06 | 0.9x | 50 | 48% |
| Keltner 채널 돌파 emaPeriod=53, atrPeriod=19, mult=1.5 |
-1.8% | -33.3% | -0.04 | -0.05 | 0.9x | 31 | 40% |
| Parabolic SAR step=0.045, maxStep=0.24 |
-17.6% | -67.9% | -0.95 | -0.26 | 0.3x | 190 | 52% |
| Buy and hold | 2.8% | -49.1% | 0.24 | 0.06 | 1.2x | 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 32-day average (1.1× volatility)
- Sell — Sell when the close falls back to the 32-day middle average