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 10.1%, MDD -32.7%).
Results by strategy
0 of 10 beat buy and hold (CAGR 10.5%, drawdown -54.1%).
Sharpe leader (same as main): ADX / DI 방향성 — CAGR 4.6%, MDD -9.5%, Sharpe 0.80, 7% exposure.
CAGR reference leader: ROC 모멘텀 — CAGR 10.1%, MDD -32.7%, exposure 71%.
Return/drawdown alternative: ROC 모멘텀 — CAGR is 5.9%p lower than buy and hold, while drawdown improves by 44.6%p (CAGR 10.1%, 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 |
4.6% | -9.5% | 0.80 | 0.49 | 1.3x | 4 | 7% |
| 볼린저 밴드 돌파 n=11, k=2.7 |
5.5% | -12.6% | 0.80 | 0.43 | 1.4x | 8 | 5% |
| ROC 모멘텀 n=53, threshold=-0.06 |
10.1% | -32.7% | 0.52 | 0.31 | 1.8x | 49 | 71% |
| Keltner 채널 돌파 emaPeriod=18, atrPeriod=22, mult=2.7 |
3.8% | -20.3% | 0.46 | 0.19 | 1.2x | 14 | 12% |
| SMA 크로스오버 fast=42, slow=74 |
7.9% | -41.9% | 0.46 | 0.19 | 1.6x | 19 | 58% |
| Donchian 채널 돌파 entryN=109, exitN=47 |
5.5% | -18.0% | 0.41 | 0.30 | 1.4x | 5 | 32% |
| Supertrend period=12, mult=5 |
6.1% | -50.2% | 0.38 | 0.12 | 1.4x | 17 | 59% |
| Parabolic SAR step=0.015, maxStep=0.2 |
3.8% | -46.2% | 0.28 | 0.08 | 1.2x | 100 | 53% |
| EMA 크로스오버 fast=19, slow=183 |
1.1% | -36.5% | 0.16 | 0.03 | 1.1x | 13 | 52% |
| MACD fast=18, slow=36, signal=19 |
-6.8% | -58.6% | -0.22 | -0.12 | 0.7x | 66 | 48% |
| Buy and hold | 10.5% | -54.1% | 0.48 | 0.19 | 1.8x | 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)