Trend-Following Backtester · Guide · backtest 한국어
equity · US
United Community Banks, Inc. backtest
10 trend-following strategies were compared on the full daily history of United Community Banks, Inc.. 10 beat buy-and-hold CAGR; Supertrend ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is ADX / DI 방향성 (CAGR 0.8%, MDD -8.1%).
Results by strategy
10 of 10 beat buy and hold (CAGR -3.1%, drawdown -96.3%).
Sharpe leader (same as main): Supertrend — CAGR 6.7%, MDD -56.9%, Sharpe 0.37, 51% exposure.
Return/drawdown alternative: ADX / DI 방향성 — CAGR is 9.8%p higher than buy and hold, while drawdown improves by 39.4%p (CAGR 0.8%, MDD -8.1%, exposure 2%).
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 |
|---|---|---|---|---|---|---|---|
| Supertrend period=13, mult=2.9 |
6.7% | -56.9% | 0.37 | 0.12 | 4.9x | 137 | 51% |
| EMA 크로스오버 fast=57, slow=215 |
4.3% | -53.9% | 0.31 | 0.08 | 2.8x | 23 | 56% |
| Keltner 채널 돌파 emaPeriod=10, atrPeriod=17, mult=1.3 |
4.2% | -53.4% | 0.30 | 0.08 | 2.7x | 210 | 19% |
| Donchian 채널 돌파 entryN=18, exitN=105 |
4.2% | -77.6% | 0.30 | 0.05 | 2.7x | 43 | 84% |
| ADX / DI 방향성 period=34, threshold=28 |
0.8% | -8.1% | 0.26 | 0.10 | 1.2x | 4 | 2% |
| MACD fast=17, slow=53, signal=31 |
0.9% | -65.4% | 0.18 | 0.01 | 1.3x | 217 | 49% |
| ROC 모멘텀 n=75, threshold=-0.11 |
-0.3% | -86.1% | 0.15 | -0.00 | 0.9x | 165 | 75% |
| SMA 크로스오버 fast=33, slow=111 |
-0.3% | -71.2% | 0.13 | -0.00 | 0.9x | 55 | 56% |
| Parabolic SAR step=0.005, maxStep=0.14 |
-0.7% | -79.9% | 0.12 | -0.01 | 0.8x | 223 | 52% |
| 볼린저 밴드 돌파 n=42, k=3 |
0.0% | -51.9% | 0.06 | 0.00 | 1.0x | 33 | 10% |
| Buy and hold | -3.1% | -96.3% | 0.15 | -0.03 | 0.5x | 1 | 100% |
Rules of the top strategy
Trades the direction of a volatility-based trend line that trails below/above price.
- Buy — Buy when price moves above the trend line (flips up) — 13-day volatility, 2.9× band
- Sell — Sell when price drops below the trend line (flips down)