Trend-Following Backtester · Guide · backtest 한국어
equity · US
First Busey Corporation backtest
10 trend-following strategies were compared on the full daily history of First Busey Corporation. 5 beat buy-and-hold CAGR; SMA 크로스오버 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is ADX / DI 방향성 (CAGR 0.3%, MDD -7.3%).
Results by strategy
5 of 10 beat buy and hold (CAGR -0.8%, drawdown -87.1%).
Sharpe leader (same as main): SMA 크로스오버 — CAGR 2.0%, MDD -44.1%, Sharpe 0.20, 57% exposure.
Return/drawdown alternative: ADX / DI 방향성 — CAGR is 2.7%p higher than buy and hold, while drawdown improves by 43.0%p (CAGR 0.3%, MDD -7.3%, exposure 3%).
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=56, slow=270 |
2.0% | -44.1% | 0.20 | 0.04 | 1.7x | 27 | 57% |
| EMA 크로스오버 fast=46, slow=231 |
0.6% | -47.5% | 0.13 | 0.01 | 1.2x | 37 | 57% |
| Donchian 채널 돌파 entryN=116, exitN=69 |
0.5% | -51.7% | 0.12 | 0.01 | 1.1x | 35 | 48% |
| ADX / DI 방향성 period=44, threshold=26 |
0.3% | -7.3% | 0.09 | 0.04 | 1.1x | 8 | 3% |
| Keltner 채널 돌파 emaPeriod=19, atrPeriod=12, mult=4 |
0.1% | -16.6% | 0.06 | 0.01 | 1.0x | 6 | 1% |
| Supertrend period=31, mult=5 |
-4.2% | -83.9% | -0.05 | -0.05 | 0.3x | 61 | 64% |
| ROC 모멘텀 n=168, threshold=-0.11 |
-7.0% | -94.3% | -0.13 | -0.07 | 0.1x | 175 | 78% |
| 볼린저 밴드 돌파 n=34, k=3.3 |
-1.6% | -59.9% | -0.13 | -0.03 | 0.6x | 22 | 4% |
| Parabolic SAR step=0.005, maxStep=0.3 |
-8.6% | -94.6% | -0.22 | -0.09 | 0.1x | 233 | 53% |
| MACD fast=22, slow=41, signal=21 |
-10.4% | -97.3% | -0.28 | -0.11 | 0.0x | 343 | 50% |
| Buy and hold | -0.8% | -87.1% | 0.17 | -0.01 | 0.8x | 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 56-day average price crosses above the 270-day average
- Sell — Sell (to cash) when the 56-day average falls below the 270-day average