Trend-Following Backtester · Guide · backtest 한국어
equity · US
Eastern Bankshares, Inc. backtest
10 trend-following strategies were compared on the full daily history of Eastern Bankshares, Inc.. 0 beat buy-and-hold CAGR; ADX / DI 방향성 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is ROC 모멘텀 (CAGR 11.1%, MDD -32.7%).
Results by strategy
0 of 10 beat buy and hold (CAGR 11.5%, drawdown -54.1%).
Sharpe leader (same as main): ADX / DI 방향성 — CAGR 4.7%, MDD -9.5%, Sharpe 0.81, 7% exposure.
CAGR reference leader: ROC 모멘텀 — CAGR 11.1%, MDD -32.7%, exposure 71%.
Return/drawdown alternative: ROC 모멘텀 — CAGR is 6.8%p lower than buy and hold, while drawdown improves by 44.6%p (CAGR 11.1%, MDD -32.7%, exposure 71%).
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 |
|---|---|---|---|---|---|---|---|
| ADX / DI 방향성 period=39, threshold=21 |
4.7% | -9.5% | 0.81 | 0.49 | 1.3x | 4 | 7% |
| 볼린저 밴드 돌파 n=11, k=2.7 |
5.5% | -12.6% | 0.80 | 0.44 | 1.4x | 8 | 5% |
| ROC 모멘텀 n=53, threshold=-0.06 |
11.1% | -32.7% | 0.55 | 0.34 | 1.8x | 49 | 71% |
| SMA 크로스오버 fast=42, slow=74 |
8.8% | -41.9% | 0.50 | 0.21 | 1.6x | 19 | 57% |
| Keltner 채널 돌파 emaPeriod=18, atrPeriod=22, mult=2.7 |
4.0% | -20.3% | 0.48 | 0.20 | 1.3x | 13 | 11% |
| Donchian 채널 돌파 entryN=109, exitN=47 |
6.4% | -18.0% | 0.46 | 0.35 | 1.4x | 5 | 31% |
| Supertrend period=12, mult=5 |
7.0% | -50.2% | 0.41 | 0.14 | 1.5x | 17 | 58% |
| Parabolic SAR step=0.015, maxStep=0.2 |
4.2% | -46.2% | 0.30 | 0.09 | 1.3x | 97 | 54% |
| EMA 크로스오버 fast=19, slow=183 |
1.9% | -36.5% | 0.20 | 0.05 | 1.1x | 13 | 52% |
| MACD fast=18, slow=36, signal=19 |
-7.0% | -58.6% | -0.23 | -0.12 | 0.7x | 65 | 49% |
| Buy and hold | 11.5% | -54.1% | 0.51 | 0.21 | 1.9x | 1 | 100% |
Rules of the top strategy
Looks at both the direction and the strength of the trend; holds only in a strong uptrend.
- Buy — Buy when up-direction (+DI) beats down-direction (−DI) and trend strength (ADX, 39-day) is ≥ 21
- Sell — Sell when direction flips or the trend weakens (ADX < 21)