Trend-Following Backtester · Guide · backtest 한국어
equity · US
U.S. Bancorp backtest
10 trend-following strategies were compared on the full daily history of U.S. Bancorp. 0 beat buy-and-hold CAGR; ADX / DI 방향성 ranks first by Sharpe, matching the main backtester.
Results by strategy
0 of 10 beat buy and hold (CAGR 9.7%, drawdown -76.8%).
Sharpe leader (same as main): ADX / DI 방향성 — CAGR 3.3%, MDD -41.9%, Sharpe 0.47, 17% exposure.
CAGR reference leader: Donchian 채널 돌파 — CAGR 5.9%, MDD -87.0%, exposure 84%.
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 · parameters | CAGR | MDD | Sharpe | Calmar | Total | Trades | Exposure |
|---|---|---|---|---|---|---|---|
| ADX / DI 방향성 period=66, threshold=19 |
3.3% | -41.9% | 0.47 | 0.08 | 5.7x | 36 | 17% |
| Donchian 채널 돌파 entryN=15, exitN=103 |
5.9% | -87.0% | 0.35 | 0.07 | 20.9x | 107 | 84% |
| SMA 크로스오버 fast=21, slow=157 |
4.3% | -64.1% | 0.32 | 0.07 | 9.5x | 133 | 64% |
| Supertrend period=19, mult=3.5 |
4.2% | -59.4% | 0.31 | 0.07 | 9.1x | 255 | 57% |
| EMA 크로스오버 fast=20, slow=194 |
3.7% | -78.7% | 0.29 | 0.05 | 7.1x | 123 | 67% |
| ROC 모멘텀 n=177, threshold=0.14 |
2.4% | -78.8% | 0.24 | 0.03 | 3.6x | 307 | 34% |
| MACD fast=14, slow=48, signal=16 |
1.9% | -71.7% | 0.19 | 0.03 | 2.7x | 638 | 50% |
| 볼린저 밴드 돌파 n=25, k=2.2 |
1.2% | -79.3% | 0.15 | 0.01 | 1.8x | 357 | 30% |
| Keltner 채널 돌파 emaPeriod=54, atrPeriod=34, mult=1.2 |
0.5% | -84.5% | 0.12 | 0.01 | 1.3x | 411 | 49% |
| Parabolic SAR step=0.015, maxStep=0.34 |
0.2% | -94.5% | 0.11 | 0.00 | 1.1x | 877 | 54% |
| Buy and hold | 9.7% | -76.8% | 0.46 | 0.13 | 136.0x | 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, 66-day) is ≥ 19
- Sell — Sell when direction flips or the trend weakens (ADX < 19)