Trend-Following Backtester · Guide · backtest 한국어
equity · US
Mercantile Bank Corporation backtest
10 trend-following strategies were compared on the full daily history of Mercantile Bank Corporation. 4 beat buy-and-hold CAGR; ADX / DI 방향성 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is Donchian 채널 돌파 (CAGR 7.2%, MDD -42.6%).
Results by strategy
4 of 10 beat buy and hold (CAGR 6.4%, drawdown -93.5%).
Sharpe leader (same as main): ADX / DI 방향성 — CAGR 1.9%, MDD -8.2%, Sharpe 0.57, 2% exposure.
CAGR reference leader: EMA 크로스오버 — CAGR 9.1%, MDD -51.4%, exposure 68%.
Return/drawdown alternative: Donchian 채널 돌파 — CAGR is 4.5%p lower than buy and hold, while drawdown improves by 85.3%p (CAGR 7.2%, MDD -42.6%, exposure 55%).
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=52, threshold=30 |
1.9% | -8.2% | 0.57 | 0.23 | 1.7x | 2 | 2% |
| EMA 크로스오버 fast=40, slow=215 |
9.1% | -51.4% | 0.48 | 0.18 | 10.6x | 33 | 68% |
| SMA 크로스오버 fast=46, slow=212 |
8.8% | -43.1% | 0.46 | 0.20 | 9.8x | 39 | 64% |
| ROC 모멘텀 n=148, threshold=-0.05 |
8.3% | -62.0% | 0.43 | 0.13 | 8.6x | 187 | 72% |
| Donchian 채널 돌파 entryN=92, exitN=73 |
7.2% | -42.6% | 0.42 | 0.17 | 6.6x | 35 | 55% |
| 볼린저 밴드 돌파 n=45, k=3.5 |
3.0% | -37.1% | 0.30 | 0.08 | 2.2x | 30 | 10% |
| Keltner 채널 돌파 emaPeriod=15, atrPeriod=19, mult=2.9 |
2.0% | -19.6% | 0.26 | 0.10 | 1.7x | 52 | 8% |
| Supertrend period=8, mult=4.6 |
3.3% | -61.9% | 0.25 | 0.05 | 2.4x | 85 | 57% |
| MACD fast=14, slow=57, signal=11 |
-4.2% | -93.4% | -0.02 | -0.05 | 0.3x | 397 | 50% |
| Parabolic SAR step=0.02, maxStep=0.12 |
-8.5% | -96.4% | -0.21 | -0.09 | 0.1x | 569 | 50% |
| Buy and hold | 6.4% | -93.5% | 0.35 | 0.07 | 5.3x | 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, 52-day) is ≥ 30
- Sell — Sell when direction flips or the trend weakens (ADX < 30)