Trend-Following Backtester · Guide · backtest 한국어
equity · US
Bankwell Financial Group, Inc. backtest
10 trend-following strategies were compared on the full daily history of Bankwell Financial Group, Inc.. 3 beat buy-and-hold CAGR; Donchian 채널 돌파 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is ROC 모멘텀 (CAGR 9.9%, MDD -33.4%).
Results by strategy
3 of 10 beat buy and hold (CAGR 8.8%, drawdown -66.1%).
Sharpe leader (same as main): Donchian 채널 돌파 — CAGR 10.8%, MDD -43.2%, Sharpe 0.58, 53% exposure.
Return/drawdown alternative: ROC 모멘텀 — CAGR is 1.9%p higher than buy and hold, while drawdown improves by 22.8%p (CAGR 9.9%, MDD -33.4%, exposure 43%).
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 |
|---|---|---|---|---|---|---|---|
| Donchian 채널 돌파 entryN=101, exitN=70 |
10.8% | -43.2% | 0.58 | 0.25 | 5.3x | 17 | 53% |
| ROC 모멘텀 n=150, threshold=0.04 |
9.9% | -33.4% | 0.57 | 0.30 | 4.7x | 81 | 43% |
| EMA 크로스오버 fast=50, slow=217 |
9.5% | -39.2% | 0.54 | 0.24 | 4.4x | 17 | 52% |
| SMA 크로스오버 fast=34, slow=144 |
8.5% | -44.0% | 0.48 | 0.19 | 3.8x | 33 | 54% |
| 볼린저 밴드 돌파 n=59, k=2.6 |
5.1% | -36.3% | 0.38 | 0.14 | 2.2x | 43 | 27% |
| Supertrend period=17, mult=5 |
4.7% | -52.0% | 0.31 | 0.09 | 2.1x | 55 | 53% |
| MACD fast=19, slow=42, signal=16 |
4.5% | -42.8% | 0.31 | 0.11 | 2.1x | 161 | 54% |
| Parabolic SAR step=0.005, maxStep=0.18 |
2.4% | -50.7% | 0.22 | 0.05 | 1.5x | 105 | 51% |
| ADX / DI 방향성 period=24, threshold=25 |
2.0% | -39.6% | 0.21 | 0.05 | 1.4x | 52 | 18% |
| Keltner 채널 돌파 emaPeriod=55, atrPeriod=9, mult=3.9 |
1.4% | -39.0% | 0.17 | 0.04 | 1.3x | 37 | 18% |
| Buy and hold | 8.8% | -66.1% | 0.43 | 0.13 | 4.0x | 1 | 100% |
Rules of the top strategy
A new high means a trend starting; a new low means it’s over (turtle-trading style).
- Buy — Buy on a breakout above the highest high of the last 101 days
- Sell — Sell when price breaks below the lowest low of the last 70 days