Trend-Following Backtester · Guide · backtest 한국어
equity · US
Origin Bancorp, Inc. backtest
10 trend-following strategies were compared on the full daily history of Origin Bancorp, Inc.. 1 beat buy-and-hold CAGR; ROC 모멘텀 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is ROC 모멘텀 (CAGR 8.2%, MDD -17.9%).
Results by strategy
1 of 10 beat buy and hold (CAGR 5.2%, drawdown -58.4%).
Sharpe leader (same as main): ROC 모멘텀 — CAGR 8.2%, MDD -17.9%, Sharpe 0.68, 18% exposure.
Return/drawdown alternative: ROC 모멘텀 — CAGR is 3.0%p higher than buy and hold, while drawdown improves by 40.4%p (CAGR 8.2%, MDD -17.9%, exposure 18%).
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 n=153, threshold=0.22 |
8.2% | -17.9% | 0.68 | 0.46 | 1.9x | 24 | 18% |
| ADX / DI 방향성 period=35, threshold=28 |
0.4% | -0.5% | 0.34 | 0.71 | 1.0x | 2 | 0% |
| 볼린저 밴드 돌파 n=29, k=3 |
2.8% | -21.8% | 0.33 | 0.13 | 1.3x | 12 | 10% |
| Keltner 채널 돌파 emaPeriod=44, atrPeriod=20, mult=2.8 |
3.3% | -35.9% | 0.30 | 0.09 | 1.3x | 24 | 24% |
| SMA 크로스오버 fast=35, slow=98 |
2.9% | -57.7% | 0.24 | 0.05 | 1.3x | 25 | 49% |
| EMA 크로스오버 fast=9, slow=182 |
2.4% | -50.3% | 0.22 | 0.05 | 1.2x | 27 | 48% |
| Donchian 채널 돌파 entryN=19, exitN=57 |
1.9% | -52.4% | 0.21 | 0.04 | 1.2x | 25 | 72% |
| Parabolic SAR step=0.005, maxStep=0.34 |
1.9% | -50.6% | 0.20 | 0.04 | 1.2x | 70 | 54% |
| Supertrend period=19, mult=3.2 |
1.8% | -44.4% | 0.19 | 0.04 | 1.2x | 41 | 56% |
| MACD fast=13, slow=19, signal=13 |
0.7% | -43.7% | 0.15 | 0.02 | 1.1x | 146 | 50% |
| Buy and hold | 5.2% | -58.4% | 0.32 | 0.09 | 1.5x | 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 153-day return is greater than 22%
- Sell — Sell when the 153-day return drops to 22% or below