Trend-Following Backtester · Guide · backtest 한국어
equity · US
International Bancshares Corporation backtest
10 trend-following strategies were compared on the full daily history of International Bancshares Corporation. 0 beat buy-and-hold CAGR; ROC 모멘텀 ranks first by Sharpe, matching the main backtester. Its 100% market exposure makes it hold-like.
Results by strategy
0 of 10 beat buy and hold (CAGR 9.6%, drawdown -77.7%).
Sharpe leader (same as main): ROC 모멘텀 — CAGR 9.2%, MDD -77.2%, Sharpe 0.43, 100% exposure. With at least 95% exposure, it should be treated as hold-like, not strong evidence of timing skill.
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 |
|---|---|---|---|---|---|---|---|
| ROC 모멘텀 Hold-like · Exposure 100% n=2, threshold=-0.12 |
9.2% | -77.2% | 0.43 | 0.12 | 15.5x | 29 | 100% |
| SMA 크로스오버 fast=31, slow=86 |
5.9% | -58.0% | 0.36 | 0.10 | 6.0x | 96 | 59% |
| Donchian 채널 돌파 entryN=23, exitN=73 |
6.3% | -64.7% | 0.36 | 0.10 | 6.7x | 74 | 77% |
| 볼린저 밴드 돌파 n=50, k=3.5 |
3.0% | -29.8% | 0.34 | 0.10 | 2.5x | 24 | 11% |
| Keltner 채널 돌파 emaPeriod=47, atrPeriod=9, mult=3.3 |
3.4% | -50.9% | 0.31 | 0.07 | 2.8x | 70 | 23% |
| EMA 크로스오버 fast=59, slow=205 |
4.1% | -63.1% | 0.28 | 0.06 | 3.4x | 45 | 67% |
| ADX / DI 방향성 period=35, threshold=36 |
0.8% | -5.7% | 0.26 | 0.14 | 1.3x | 8 | 2% |
| MACD fast=33, slow=41, signal=37 |
3.0% | -49.2% | 0.24 | 0.06 | 2.5x | 228 | 49% |
| Parabolic SAR step=0.005, maxStep=0.26 |
2.4% | -56.8% | 0.22 | 0.04 | 2.1x | 264 | 56% |
| Supertrend period=25, mult=3.3 |
1.4% | -63.4% | 0.18 | 0.02 | 1.5x | 178 | 57% |
| Buy and hold | 9.6% | -77.7% | 0.44 | 0.12 | 17.5x | 1 | 100% |
Rules of the top strategy
Rides the trend when recent return (momentum) over a window is above a threshold.
- Buy — Buy when the last 2-day return is greater than -12%
- Sell — Sell when the 2-day return drops to -12% or below