Trend-Following Backtester · Guide · backtest 한국어
equity · US
Webster Financial Corporation backtest
10 trend-following strategies were compared on the full daily history of Webster Financial Corporation. 2 beat buy-and-hold CAGR; Donchian 채널 돌파 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is SMA 크로스오버 (CAGR 7.3%, MDD -61.3%).
Results by strategy
2 of 10 beat buy and hold (CAGR 7.0%, drawdown -94.2%).
Sharpe leader (same as main): Donchian 채널 돌파 — CAGR 8.9%, MDD -76.5%, Sharpe 0.43, 83% exposure.
Return/drawdown alternative: SMA 크로스오버 — CAGR is 1.9%p higher than buy and hold, while drawdown improves by 17.7%p (CAGR 7.3%, MDD -61.3%, exposure 61%).
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 |
|---|---|---|---|---|---|---|---|
| Donchian 채널 돌파 entryN=18, exitN=78 |
8.9% | -76.5% | 0.43 | 0.12 | 29.5x | 101 | 83% |
| SMA 크로스오버 fast=54, slow=145 |
7.3% | -61.3% | 0.41 | 0.12 | 16.4x | 73 | 61% |
| Supertrend period=17, mult=3.4 |
6.5% | -65.7% | 0.37 | 0.10 | 12.0x | 207 | 56% |
| EMA 크로스오버 fast=48, slow=108 |
6.1% | -74.5% | 0.37 | 0.08 | 10.4x | 85 | 63% |
| 볼린저 밴드 돌파 n=42, k=1.7 |
4.7% | -68.6% | 0.32 | 0.07 | 6.1x | 235 | 38% |
| ADX / DI 방향성 period=39, threshold=33 |
0.8% | -11.0% | 0.26 | 0.07 | 1.4x | 8 | 2% |
| MACD fast=21, slow=24, signal=17 |
2.5% | -87.6% | 0.22 | 0.03 | 2.6x | 492 | 51% |
| Parabolic SAR step=0.005, maxStep=0.24 |
2.1% | -88.2% | 0.21 | 0.02 | 2.3x | 335 | 55% |
| Keltner 채널 돌파 emaPeriod=51, atrPeriod=12, mult=2.8 |
2.2% | -50.0% | 0.21 | 0.04 | 2.3x | 153 | 32% |
| ROC 모멘텀 n=43, threshold=-0.04 |
0.5% | -74.5% | 0.16 | 0.01 | 1.2x | 543 | 70% |
| Buy and hold | 7.0% | -94.2% | 0.37 | 0.07 | 14.7x | 1 | 100% |
Rules of the top strategy
A new high means a trend starting; a new low means it’s over (turtle-trading style).
- Buy — Buy on a breakout above the highest high of the last 18 days
- Sell — Sell when price breaks below the lowest low of the last 78 days