Trend-Following Backtester · Guide · backtest 한국어
equity · US
First Bank backtest
10 trend-following strategies were compared on the full daily history of First Bank. 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 12.9%, MDD -44.0%).
Results by strategy
2 of 10 beat buy and hold (CAGR 11.6%, drawdown -59.4%).
Sharpe leader (same as main): ADX / DI 방향성 — CAGR 2.9%, MDD -12.5%, Sharpe 0.52, 3% exposure.
CAGR reference leader: Donchian 채널 돌파 — CAGR 12.9%, MDD -44.0%, exposure 78%.
Return/drawdown alternative: Donchian 채널 돌파 — CAGR is 8.7%p lower than buy and hold, while drawdown improves by 46.9%p (CAGR 12.9%, MDD -44.0%, exposure 78%).
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=34, threshold=44 |
2.9% | -12.5% | 0.52 | 0.23 | 1.6x | 2 | 3% |
| Donchian 채널 돌파 entryN=55, exitN=69 |
12.9% | -44.0% | 0.52 | 0.29 | 6.8x | 15 | 78% |
| ROC 모멘텀 Hold-like · Exposure 96% n=18, threshold=-0.11 |
11.7% | -57.7% | 0.48 | 0.20 | 5.8x | 71 | 96% |
| EMA 크로스오버 fast=47, slow=259 |
9.6% | -35.9% | 0.46 | 0.27 | 4.3x | 19 | 68% |
| SMA 크로스오버 fast=46, slow=185 |
9.0% | -36.1% | 0.46 | 0.25 | 3.9x | 29 | 60% |
| 볼린저 밴드 돌파 n=41, k=3.1 |
-0.6% | -64.2% | 0.08 | -0.01 | 0.9x | 40 | 14% |
| Supertrend period=8, mult=3.7 |
-3.5% | -79.3% | 0.02 | -0.04 | 0.6x | 103 | 48% |
| MACD fast=18, slow=35, signal=18 |
-6.7% | -87.2% | -0.08 | -0.08 | 0.3x | 227 | 48% |
| Parabolic SAR step=0.015, maxStep=0.22 |
-7.9% | -78.1% | -0.10 | -0.10 | 0.3x | 247 | 48% |
| Keltner 채널 돌파 emaPeriod=43, atrPeriod=24, mult=4 |
-6.2% | -79.2% | -0.18 | -0.08 | 0.4x | 42 | 17% |
| Buy and hold | 11.6% | -59.4% | 0.47 | 0.20 | 5.7x | 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, 34-day) is ≥ 44
- Sell — Sell when direction flips or the trend weakens (ADX < 44)