Trend-Following Backtester · Guide · backtest 한국어
equity · US
Business First Bancshares, Inc. backtest
10 trend-following strategies were compared on the full daily history of Business First Bancshares, Inc.. 5 beat buy-and-hold CAGR; SMA 크로스오버 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is Donchian 채널 돌파 (CAGR 3.1%, MDD -34.8%).
Results by strategy
5 of 10 beat buy and hold (CAGR 1.6%, drawdown -65.0%).
Sharpe leader (same as main): SMA 크로스오버 — CAGR 7.5%, MDD -41.8%, Sharpe 0.40, 58% exposure.
Return/drawdown alternative: Donchian 채널 돌파 — CAGR is 5.9%p higher than buy and hold, while drawdown improves by 23.1%p (CAGR 3.1%, MDD -34.8%, exposure 47%).
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 |
|---|---|---|---|---|---|---|---|
| SMA 크로스오버 fast=44, slow=67 |
7.5% | -41.8% | 0.40 | 0.18 | 1.8x | 39 | 58% |
| Supertrend period=25, mult=3.2 |
4.8% | -47.5% | 0.30 | 0.10 | 1.5x | 37 | 57% |
| Donchian 채널 돌파 entryN=68, exitN=66 |
3.1% | -34.8% | 0.25 | 0.09 | 1.3x | 13 | 47% |
| MACD fast=18, slow=91, signal=24 |
2.2% | -34.9% | 0.21 | 0.06 | 1.2x | 68 | 49% |
| ROC 모멘텀 n=154, threshold=0.06 |
2.1% | -35.5% | 0.20 | 0.06 | 1.2x | 59 | 39% |
| EMA 크로스오버 fast=38, slow=133 |
0.1% | -41.4% | 0.12 | 0.00 | 1.0x | 19 | 52% |
| Keltner 채널 돌파 emaPeriod=57, atrPeriod=16, mult=2.3 |
-0.4% | -29.7% | 0.07 | -0.01 | 1.0x | 31 | 26% |
| ADX / DI 방향성 period=25, threshold=9 |
-4.7% | -46.2% | -0.06 | -0.10 | 0.7x | 129 | 43% |
| 볼린저 밴드 돌파 n=27, k=1.3 |
-7.5% | -62.4% | -0.21 | -0.12 | 0.5x | 96 | 36% |
| Parabolic SAR step=0.01, maxStep=0.14 |
-9.5% | -70.9% | -0.22 | -0.13 | 0.4x | 112 | 54% |
| Buy and hold | 1.6% | -65.0% | 0.24 | 0.02 | 1.1x | 1 | 100% |
Rules of the top strategy
When the short average rises above the long average, it reads that as an uptrend starting.
- Buy — Buy when the 44-day average price crosses above the 67-day average
- Sell — Sell (to cash) when the 44-day average falls below the 67-day average