Trend-Following Backtester · Guide · backtest 한국어
equity · US
Farmers & Merchants Bancorp, Inc. backtest
10 trend-following strategies were compared on the full daily history of Farmers & Merchants Bancorp, Inc.. 2 beat buy-and-hold CAGR; ADX / DI 방향성 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is Donchian 채널 돌파 (CAGR 6.6%, MDD -44.6%).
Results by strategy
2 of 10 beat buy and hold (CAGR 5.6%, drawdown -64.9%).
Sharpe leader (same as main): ADX / DI 방향성 — CAGR 3.0%, MDD -14.4%, Sharpe 0.45, 3% exposure.
CAGR reference leader: SMA 크로스오버 — CAGR 6.9%, MDD -50.5%, exposure 55%.
Return/drawdown alternative: Donchian 채널 돌파 — CAGR is 2.6%p lower than buy and hold, while drawdown improves by 50.5%p (CAGR 6.6%, MDD -44.6%, exposure 61%).
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=30, threshold=35 |
3.0% | -14.4% | 0.45 | 0.21 | 1.8x | 6 | 3% |
| SMA 크로스오버 fast=40, slow=153 |
6.9% | -50.5% | 0.38 | 0.14 | 3.9x | 31 | 55% |
| Donchian 채널 돌파 entryN=59, exitN=76 |
6.6% | -44.6% | 0.37 | 0.15 | 3.7x | 35 | 61% |
| EMA 크로스오버 fast=19, slow=165 |
4.6% | -41.7% | 0.31 | 0.11 | 2.5x | 45 | 55% |
| 볼린저 밴드 돌파 n=76, k=2 |
0.2% | -65.1% | 0.11 | 0.00 | 1.0x | 73 | 33% |
| Keltner 채널 돌파 emaPeriod=57, atrPeriod=9, mult=4 |
-0.8% | -68.6% | 0.04 | -0.01 | 0.9x | 81 | 25% |
| Supertrend period=20, mult=5 |
-5.9% | -86.0% | -0.07 | -0.07 | 0.3x | 137 | 59% |
| ROC 모멘텀 n=107, threshold=0.12 |
-3.7% | -72.7% | -0.12 | -0.05 | 0.5x | 181 | 22% |
| Parabolic SAR step=0.005, maxStep=0.18 |
-12.9% | -95.5% | -0.41 | -0.13 | 0.1x | 143 | 55% |
| MACD fast=18, slow=42, signal=18 |
-20.8% | -99.4% | -0.78 | -0.21 | 0.0x | 305 | 50% |
| Buy and hold | 5.6% | -64.9% | 0.33 | 0.09 | 3.0x | 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, 30-day) is ≥ 35
- Sell — Sell when direction flips or the trend weakens (ADX < 35)