Trend-Following Backtester · Guide · backtest 한국어
equity · US
First Northern Community Bancorp backtest
10 trend-following strategies were compared on the full daily history of First Northern Community Bancorp. 5 beat buy-and-hold CAGR; EMA 크로스오버 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is ADX / DI 방향성 (CAGR 10.0%, MDD -34.6%).
Results by strategy
5 of 10 beat buy and hold (CAGR 7.6%, drawdown -83.7%).
Sharpe leader (same as main): EMA 크로스오버 — CAGR 12.2%, MDD -36.5%, Sharpe 0.72, 63% exposure.
Return/drawdown alternative: ADX / DI 방향성 — CAGR is 4.5%p higher than buy and hold, while drawdown improves by 47.2%p (CAGR 10.0%, MDD -34.6%, exposure 44%).
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=36, slow=207 |
12.2% | -36.5% | 0.72 | 0.33 | 23.7x | 23 | 63% |
| ADX / DI 방향성 period=39, threshold=13 |
10.0% | -34.6% | 0.64 | 0.29 | 13.9x | 111 | 44% |
| SMA 크로스오버 fast=53, slow=218 |
10.5% | -41.3% | 0.63 | 0.25 | 15.5x | 23 | 62% |
| Donchian 채널 돌파 entryN=70, exitN=71 |
10.7% | -59.1% | 0.58 | 0.18 | 16.7x | 37 | 66% |
| 볼린저 밴드 돌파 n=54, k=3.5 |
6.9% | -29.2% | 0.56 | 0.24 | 6.3x | 53 | 27% |
| ROC 모멘텀 n=136, threshold=-0.09 |
7.7% | -81.2% | 0.44 | 0.10 | 7.8x | 117 | 78% |
| Keltner 채널 돌파 emaPeriod=60, atrPeriod=8, mult=3.7 |
6.3% | -62.0% | 0.44 | 0.10 | 5.4x | 105 | 45% |
| Parabolic SAR step=0.005, maxStep=0.18 |
6.6% | -71.6% | 0.41 | 0.09 | 5.8x | 127 | 57% |
| MACD fast=23, slow=58, signal=23 |
0.4% | -74.6% | 0.12 | 0.01 | 1.1x | 224 | 48% |
| Supertrend period=17, mult=4.8 |
-2.8% | -95.1% | -0.03 | -0.03 | 0.5x | 183 | 56% |
| Buy and hold | 7.6% | -83.7% | 0.39 | 0.09 | 7.6x | 1 | 100% |
Rules of the top strategy
Uses two exponential averages (more weight on recent prices) and trades their crossover.
- Buy — Buy when the 36-day EMA crosses above the 207-day EMA
- Sell — Sell when the 36-day EMA falls below the 207-day EMA