Trend-Following Backtester · Guide · backtest 한국어
equity · US
Isabella Bank Corporation backtest
10 trend-following strategies were compared on the full daily history of Isabella Bank Corporation. 4 beat buy-and-hold CAGR; Donchian 채널 돌파 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is EMA 크로스오버 (CAGR 3.4%, MDD -34.9%).
Results by strategy
4 of 10 beat buy and hold (CAGR 0.2%, drawdown -65.1%).
Sharpe leader (same as main): Donchian 채널 돌파 — CAGR 3.5%, MDD -38.9%, Sharpe 0.28, 38% exposure.
Return/drawdown alternative: EMA 크로스오버 — CAGR is 3.3%p higher than buy and hold, while drawdown improves by 26.2%p (CAGR 3.4%, MDD -34.9%, exposure 47%).
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 |
|---|---|---|---|---|---|---|---|
| Donchian 채널 돌파 entryN=72, exitN=38 |
3.5% | -38.9% | 0.28 | 0.09 | 2.0x | 48 | 38% |
| EMA 크로스오버 fast=90, slow=246 |
3.4% | -34.9% | 0.28 | 0.10 | 2.0x | 15 | 47% |
| ROC 모멘텀 n=145, threshold=0.13 |
3.0% | -37.0% | 0.28 | 0.08 | 1.8x | 60 | 19% |
| SMA 크로스오버 fast=31, slow=85 |
2.3% | -44.0% | 0.22 | 0.05 | 1.6x | 72 | 46% |
| ADX / DI 방향성 period=35, threshold=35 |
0.1% | -8.7% | 0.06 | 0.01 | 1.0x | 4 | 2% |
| 볼린저 밴드 돌파 n=59, k=3.2 |
0.1% | -36.1% | 0.06 | 0.00 | 1.0x | 28 | 12% |
| Parabolic SAR step=0.005, maxStep=0.18 |
-3.1% | -69.1% | -0.06 | -0.04 | 0.5x | 123 | 48% |
| Keltner 채널 돌파 emaPeriod=56, atrPeriod=19, mult=4 |
-2.1% | -61.0% | -0.10 | -0.04 | 0.6x | 74 | 22% |
| Supertrend period=8, mult=4.3 |
-4.8% | -84.7% | -0.15 | -0.06 | 0.4x | 152 | 46% |
| MACD fast=19, slow=36, signal=26 |
-12.4% | -94.6% | -0.57 | -0.13 | 0.1x | 227 | 47% |
| Buy and hold | 0.2% | -65.1% | 0.16 | 0.00 | 1.0x | 1 | 100% |
Rules of the top strategy
A new high means a trend starting; a new low means it’s over (turtle-trading style).
- Buy — Buy on a breakout above the highest high of the last 72 days
- Sell — Sell when price breaks below the lowest low of the last 38 days