Trend-Following Backtester · Guide · backtest 한국어
equity · US
International Bancshares Corporation backtest
10 trend-following strategies were compared on the full daily history of International Bancshares Corporation. 0 beat buy-and-hold CAGR; SMA 크로스오버 ranks first by Sharpe, matching the main backtester.
Results by strategy
0 of 10 beat buy and hold (CAGR 10.1%, drawdown -77.7%).
Sharpe leader (same as main): SMA 크로스오버 — CAGR 6.5%, MDD -54.1%, Sharpe 0.38, 59% exposure.
No strategy retained at least 75% of buy-and-hold CAGR while reducing drawdown by both 20% relatively and 5 percentage points absolutely.
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=34, slow=86 |
6.5% | -54.1% | 0.38 | 0.12 | 7.1x | 95 | 59% |
| Donchian 채널 돌파 entryN=28, exitN=70 |
6.0% | -64.9% | 0.35 | 0.09 | 6.1x | 73 | 75% |
| 볼린저 밴드 돌파 n=51, k=3.5 |
2.9% | -32.2% | 0.33 | 0.09 | 2.4x | 24 | 11% |
| Keltner 채널 돌파 emaPeriod=47, atrPeriod=8, mult=3.4 |
3.4% | -47.3% | 0.31 | 0.07 | 2.8x | 70 | 23% |
| EMA 크로스오버 fast=43, slow=178 |
3.9% | -65.0% | 0.28 | 0.06 | 3.3x | 61 | 65% |
| ROC 모멘텀 n=100, threshold=-0.11 |
3.1% | -76.0% | 0.25 | 0.04 | 2.6x | 199 | 84% |
| ADX / DI 방향성 period=38, threshold=36 |
0.7% | -5.6% | 0.25 | 0.13 | 1.3x | 8 | 1% |
| MACD fast=40, slow=64, signal=31 |
2.8% | -51.1% | 0.24 | 0.06 | 2.4x | 191 | 51% |
| Parabolic SAR step=0.005, maxStep=0.26 |
2.5% | -56.8% | 0.22 | 0.04 | 2.1x | 263 | 57% |
| Supertrend period=19, mult=3.5 |
0.9% | -63.9% | 0.16 | 0.01 | 1.3x | 167 | 59% |
| Buy and hold | 10.1% | -77.7% | 0.45 | 0.13 | 19.5x | 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 34-day average price crosses above the 86-day average
- Sell — Sell (to cash) when the 34-day average falls below the 86-day average