Trend-Following Backtester · Guide · backtest 한국어
equity · US
Voya Financial, Inc. backtest
10 trend-following strategies were compared on the full daily history of Voya Financial, Inc.. 0 beat buy-and-hold CAGR; 볼린저 밴드 돌파 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is Donchian 채널 돌파 (CAGR 10.7%, MDD -30.9%).
Results by strategy
0 of 10 beat buy and hold (CAGR 12.5%, drawdown -52.3%).
Sharpe leader (same as main): 볼린저 밴드 돌파 — CAGR 3.3%, MDD -8.8%, Sharpe 0.63, 4% exposure.
CAGR reference leader: Donchian 채널 돌파 — CAGR 10.7%, MDD -30.9%, exposure 82%.
Return/drawdown alternative: Donchian 채널 돌파 — CAGR is 9.2%p lower than buy and hold, while drawdown improves by 43.5%p (CAGR 10.7%, MDD -30.9%, exposure 82%).
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=22, k=3.3 |
3.3% | -8.8% | 0.63 | 0.38 | 1.5x | 7 | 4% |
| Donchian 채널 돌파 entryN=14, exitN=58 |
10.7% | -30.9% | 0.54 | 0.35 | 3.8x | 37 | 82% |
| MACD fast=15, slow=20, signal=24 |
6.1% | -32.3% | 0.41 | 0.19 | 2.2x | 164 | 50% |
| ROC 모멘텀 n=120, threshold=-0.1 |
6.0% | -39.1% | 0.37 | 0.15 | 2.2x | 57 | 81% |
| Keltner 채널 돌파 emaPeriod=12, atrPeriod=26, mult=2.9 |
1.1% | -8.7% | 0.36 | 0.13 | 1.2x | 4 | 2% |
| SMA 크로스오버 fast=65, slow=127 |
4.8% | -52.3% | 0.32 | 0.09 | 1.9x | 31 | 60% |
| Parabolic SAR step=0.025, maxStep=0.3 |
3.5% | -39.0% | 0.27 | 0.09 | 1.6x | 328 | 56% |
| Supertrend period=10, mult=1.9 |
3.6% | -36.9% | 0.27 | 0.10 | 1.6x | 169 | 60% |
| EMA 크로스오버 fast=53, slow=91 |
0.2% | -66.1% | 0.11 | 0.00 | 1.0x | 35 | 64% |
| ADX / DI 방향성 period=18, threshold=28 |
-0.3% | -31.0% | -0.01 | -0.01 | 1.0x | 29 | 9% |
| Buy and hold | 12.5% | -52.3% | 0.55 | 0.24 | 4.7x | 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 22-day average (3.3× volatility)
- Sell — Sell when the close falls back to the 22-day middle average