Trend-Following Backtester · Guide · backtest 한국어
equity · US
Independent Bank Corp. backtest
10 trend-following strategies were compared on the full daily history of Independent Bank Corp.. 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 3.8%, drawdown -95.3%).
Sharpe leader (same as main): SMA 크로스오버 — CAGR 2.2%, MDD -72.1%, Sharpe 0.23, 58% 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=41, slow=180 |
2.2% | -72.1% | 0.23 | 0.03 | 2.4x | 69 | 58% |
| EMA 크로스오버 fast=37, slow=134 |
1.4% | -74.8% | 0.21 | 0.02 | 1.8x | 81 | 58% |
| Supertrend period=16, mult=5 |
0.2% | -80.0% | 0.19 | 0.00 | 1.1x | 101 | 56% |
| Donchian 채널 돌파 entryN=43, exitN=77 |
-2.6% | -91.6% | 0.15 | -0.03 | 0.4x | 83 | 70% |
| Parabolic SAR step=0.005, maxStep=0.36 |
-6.0% | -94.4% | 0.03 | -0.06 | 0.1x | 324 | 55% |
| MACD fast=48, slow=59, signal=30 |
-7.8% | -98.5% | 0.02 | -0.08 | 0.0x | 261 | 52% |
| ADX / DI 방향성 period=28, threshold=36 |
-0.2% | -33.5% | -0.00 | -0.01 | 0.9x | 20 | 3% |
| ROC 모멘텀 n=129, threshold=-0.07 |
-8.5% | -98.5% | -0.05 | -0.09 | 0.0x | 433 | 72% |
| Keltner 채널 돌파 emaPeriod=26, atrPeriod=16, mult=4 |
-1.7% | -54.7% | -0.08 | -0.03 | 0.5x | 32 | 4% |
| 볼린저 밴드 돌파 n=50, k=2.7 |
-4.5% | -87.4% | -0.13 | -0.05 | 0.2x | 101 | 18% |
| Buy and hold | 3.8% | -95.3% | 0.35 | 0.04 | 4.5x | 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 41-day average price crosses above the 180-day average
- Sell — Sell (to cash) when the 41-day average falls below the 180-day average