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 3.5%, MDD -34.8%).
Results by strategy
5 of 10 beat buy and hold (CAGR 1.9%, drawdown -65.0%).
Sharpe leader (same as main): SMA 크로스오버 — CAGR 8.0%, MDD -41.8%, Sharpe 0.42, 57% exposure.
Return/drawdown alternative: Donchian 채널 돌파 — CAGR is 6.0%p higher than buy and hold, while drawdown improves by 23.1%p (CAGR 3.5%, 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 |
8.0% | -41.8% | 0.42 | 0.19 | 1.9x | 39 | 57% |
| Supertrend period=25, mult=3.2 |
5.1% | -47.5% | 0.32 | 0.11 | 1.5x | 37 | 56% |
| Donchian 채널 돌파 entryN=68, exitN=66 |
3.5% | -34.8% | 0.26 | 0.10 | 1.3x | 13 | 47% |
| MACD fast=18, slow=91, signal=24 |
2.5% | -34.9% | 0.23 | 0.07 | 1.2x | 67 | 48% |
| ROC 모멘텀 n=154, threshold=0.06 |
2.4% | -35.5% | 0.22 | 0.07 | 1.2x | 59 | 39% |
| EMA 크로스오버 fast=38, slow=133 |
0.4% | -41.4% | 0.13 | 0.01 | 1.0x | 19 | 52% |
| Keltner 채널 돌파 emaPeriod=57, atrPeriod=16, mult=2.3 |
-0.1% | -29.7% | 0.09 | -0.00 | 1.0x | 31 | 25% |
| ADX / DI 방향성 period=25, threshold=9 |
-4.2% | -46.2% | -0.04 | -0.09 | 0.7x | 125 | 43% |
| 볼린저 밴드 돌파 n=27, k=1.3 |
-7.3% | -62.4% | -0.20 | -0.12 | 0.5x | 95 | 36% |
| Parabolic SAR step=0.01, maxStep=0.14 |
-9.3% | -70.9% | -0.21 | -0.13 | 0.4x | 111 | 54% |
| Buy and hold | 1.9% | -65.0% | 0.25 | 0.03 | 1.2x | 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