Trend-Following Backtester · Guide · backtest 한국어
equity · US
Primis Financial Corp. backtest
10 trend-following strategies were compared on the full daily history of Primis Financial Corp.. 7 beat buy-and-hold CAGR; ADX / DI 방향성 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is ADX / DI 방향성 (CAGR 1.1%, MDD -10.9%).
Results by strategy
7 of 10 beat buy and hold (CAGR 0.7%, drawdown -79.0%).
Sharpe leader (same as main): ADX / DI 방향성 — CAGR 1.1%, MDD -10.9%, Sharpe 0.32, 2% exposure.
CAGR reference leader: SMA 크로스오버 — CAGR 4.1%, MDD -35.7%, exposure 50%.
Return/drawdown alternative: ADX / DI 방향성 — CAGR is 0.4%p higher than buy and hold, while drawdown improves by 68.1%p (CAGR 1.1%, MDD -10.9%, exposure 2%).
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=25, threshold=36 |
1.1% | -10.9% | 0.32 | 0.10 | 1.2x | 6 | 2% |
| SMA 크로스오버 fast=18, slow=74 |
4.1% | -35.7% | 0.29 | 0.12 | 2.2x | 75 | 50% |
| Donchian 채널 돌파 entryN=17, exitN=43 |
3.9% | -60.0% | 0.28 | 0.07 | 2.1x | 61 | 66% |
| Keltner 채널 돌파 emaPeriod=31, atrPeriod=22, mult=3.2 |
2.8% | -19.6% | 0.27 | 0.14 | 1.7x | 34 | 11% |
| EMA 크로스오버 fast=18, slow=127 |
2.7% | -47.8% | 0.23 | 0.06 | 1.7x | 53 | 52% |
| Supertrend period=15, mult=4.5 |
1.4% | -53.4% | 0.17 | 0.03 | 1.3x | 59 | 45% |
| 볼린저 밴드 돌파 n=45, k=2.6 |
1.3% | -43.0% | 0.16 | 0.03 | 1.3x | 54 | 19% |
| MACD fast=24, slow=48, signal=20 |
-2.5% | -75.4% | 0.02 | -0.03 | 0.6x | 196 | 47% |
| ROC 모멘텀 n=143, threshold=0.11 |
-1.4% | -58.0% | 0.01 | -0.02 | 0.8x | 115 | 28% |
| Parabolic SAR step=0.015, maxStep=0.3 |
-8.3% | -88.0% | -0.24 | -0.09 | 0.2x | 331 | 49% |
| Buy and hold | 0.7% | -79.0% | 0.21 | 0.01 | 1.1x | 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, 25-day) is ≥ 36
- Sell — Sell when direction flips or the trend weakens (ADX < 36)