Trend-Following Backtester · Guide · backtest 한국어
equity · US
First Business Financial Services, Inc. backtest
10 trend-following strategies were compared on the full daily history of First Business Financial Services, Inc.. 1 beat buy-and-hold CAGR; EMA 크로스오버 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is Donchian 채널 돌파 (CAGR 7.9%, MDD -42.0%).
Results by strategy
1 of 10 beat buy and hold (CAGR 8.7%, drawdown -69.4%).
Sharpe leader (same as main): EMA 크로스오버 — CAGR 8.9%, MDD -57.3%, Sharpe 0.50, 59% exposure.
Return/drawdown alternative: Donchian 채널 돌파 — CAGR is 0.3%p higher than buy and hold, while drawdown improves by 12.0%p (CAGR 7.9%, MDD -42.0%, exposure 60%).
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 |
|---|---|---|---|---|---|---|---|
| EMA 크로스오버 fast=53, slow=209 |
8.9% | -57.3% | 0.50 | 0.16 | 5.9x | 15 | 59% |
| Donchian 채널 돌파 entryN=97, exitN=62 |
7.9% | -42.0% | 0.45 | 0.19 | 4.8x | 23 | 60% |
| SMA 크로스오버 fast=23, slow=210 |
6.9% | -55.2% | 0.41 | 0.12 | 4.0x | 33 | 58% |
| ROC 모멘텀 n=206, threshold=-0.02 |
5.3% | -57.3% | 0.35 | 0.09 | 2.9x | 117 | 61% |
| 볼린저 밴드 돌파 n=56, k=3.4 |
1.0% | -41.0% | 0.14 | 0.03 | 1.2x | 30 | 15% |
| MACD fast=19, slow=42, signal=19 |
-3.5% | -85.3% | 0.00 | -0.04 | 0.5x | 225 | 50% |
| ADX / DI 방향성 period=35, threshold=19 |
-2.1% | -52.3% | -0.03 | -0.04 | 0.6x | 56 | 14% |
| Parabolic SAR step=0.005, maxStep=0.18 |
-4.4% | -79.3% | -0.06 | -0.06 | 0.4x | 153 | 53% |
| Supertrend period=11, mult=4.7 |
-7.4% | -93.2% | -0.17 | -0.08 | 0.2x | 109 | 55% |
| Keltner 채널 돌파 emaPeriod=57, atrPeriod=37, mult=3.1 |
-4.9% | -72.9% | -0.22 | -0.07 | 0.4x | 81 | 27% |
| Buy and hold | 8.7% | -69.4% | 0.41 | 0.12 | 5.6x | 1 | 100% |
Rules of the top strategy
Uses two exponential averages (more weight on recent prices) and trades their crossover.
- Buy — Buy when the 53-day EMA crosses above the 209-day EMA
- Sell — Sell when the 53-day EMA falls below the 209-day EMA