Trend-Following Backtester · Guide · backtest 한국어
equity · US
Independent Bank Corporation backtest
10 trend-following strategies were compared on the full daily history of Independent Bank Corporation. 8 beat buy-and-hold CAGR; SMA 크로스오버 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is EMA 크로스오버 (CAGR 12.9%, MDD -39.9%).
Results by strategy
8 of 10 beat buy and hold (CAGR 2.8%, drawdown -99.6%).
Sharpe leader (same as main): SMA 크로스오버 — CAGR 13.3%, MDD -41.1%, Sharpe 0.62, 58% exposure.
Return/drawdown alternative: EMA 크로스오버 — CAGR is 10.5%p higher than buy and hold, while drawdown improves by 58.5%p (CAGR 12.9%, MDD -39.9%, 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 |
|---|---|---|---|---|---|---|---|
| SMA 크로스오버 fast=30, slow=281 |
13.3% | -41.1% | 0.62 | 0.32 | 165.6x | 35 | 58% |
| EMA 크로스오버 fast=50, slow=170 |
12.9% | -39.9% | 0.60 | 0.32 | 142.8x | 45 | 60% |
| Donchian 채널 돌파 entryN=76, exitN=57 |
8.6% | -82.3% | 0.43 | 0.10 | 29.5x | 61 | 55% |
| Supertrend period=20, mult=3.9 |
8.2% | -79.9% | 0.40 | 0.10 | 25.2x | 119 | 54% |
| ROC 모멘텀 n=150, threshold=-0.02 |
6.1% | -82.5% | 0.35 | 0.07 | 11.3x | 275 | 62% |
| 볼린저 밴드 돌파 n=45, k=3.3 |
4.0% | -48.6% | 0.29 | 0.08 | 5.0x | 68 | 14% |
| ADX / DI 방향성 period=15, threshold=20 |
4.3% | -68.9% | 0.28 | 0.06 | 5.5x | 395 | 38% |
| Keltner 채널 돌파 emaPeriod=17, atrPeriod=17, mult=2.4 |
3.0% | -55.2% | 0.24 | 0.05 | 3.4x | 128 | 11% |
| Parabolic SAR step=0.005, maxStep=0.26 |
0.7% | -91.9% | 0.18 | 0.01 | 1.4x | 305 | 52% |
| MACD fast=24, slow=43, signal=18 |
-0.9% | -96.1% | 0.15 | -0.01 | 0.7x | 481 | 50% |
| Buy and hold | 2.8% | -99.6% | 0.30 | 0.03 | 3.1x | 1 | 100% |
Rules of the top strategy
When the short average rises above the long average, it reads that as an uptrend starting.
- Buy — Buy when the 30-day average price crosses above the 281-day average
- Sell — Sell (to cash) when the 30-day average falls below the 281-day average