Trend-Following Backtester · Guide · backtest 한국어
equity · US
Mechanics Bancorp backtest
10 trend-following strategies were compared on the full daily history of Mechanics Bancorp. 9 beat buy-and-hold CAGR; Donchian 채널 돌파 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is ADX / DI 방향성 (CAGR 8.3%, MDD -28.8%).
Results by strategy
9 of 10 beat buy and hold (CAGR 1.8%, drawdown -92.1%).
Sharpe leader (same as main): Donchian 채널 돌파 — CAGR 16.3%, MDD -51.1%, Sharpe 0.62, 74% exposure.
Return/drawdown alternative: ADX / DI 방향성 — CAGR is 14.5%p higher than buy and hold, while drawdown improves by 41.0%p (CAGR 8.3%, MDD -28.8%, exposure 10%).
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=12, exitN=35 |
16.3% | -51.1% | 0.62 | 0.32 | 9.0x | 53 | 74% |
| ADX / DI 방향성 period=22, threshold=27 |
8.3% | -28.8% | 0.59 | 0.29 | 3.2x | 30 | 10% |
| Keltner 채널 돌파 emaPeriod=44, atrPeriod=27, mult=2.3 |
8.8% | -41.0% | 0.49 | 0.21 | 3.4x | 56 | 30% |
| Supertrend period=10, mult=4.3 |
10.3% | -50.7% | 0.48 | 0.20 | 4.1x | 41 | 51% |
| 볼린저 밴드 돌파 n=45, k=1.8 |
8.0% | -39.1% | 0.44 | 0.21 | 3.1x | 82 | 37% |
| SMA 크로스오버 fast=6, slow=73 |
8.5% | -37.5% | 0.44 | 0.23 | 3.3x | 87 | 52% |
| EMA 크로스오버 fast=20, slow=32 |
8.2% | -42.1% | 0.43 | 0.19 | 3.1x | 79 | 54% |
| ROC 모멘텀 n=144, threshold=0.04 |
7.9% | -47.7% | 0.42 | 0.17 | 3.0x | 88 | 48% |
| MACD fast=15, slow=40, signal=11 |
7.0% | -69.9% | 0.37 | 0.10 | 2.7x | 196 | 50% |
| Parabolic SAR step=0.03, maxStep=0.16 |
-4.4% | -81.4% | -0.01 | -0.05 | 0.5x | 402 | 50% |
| Buy and hold | 1.8% | -92.1% | 0.26 | 0.02 | 1.3x | 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 12 days
- Sell — Sell when price breaks below the lowest low of the last 35 days