Trend-Following Backtester · Guide · backtest 한국어
equity · US
Mid Penn Bancorp backtest
10 trend-following strategies were compared on the full daily history of Mid Penn Bancorp. 3 beat buy-and-hold CAGR; EMA 크로스오버 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is SMA 크로스오버 (CAGR 2.6%, MDD -52.4%).
Results by strategy
3 of 10 beat buy and hold (CAGR 1.6%, drawdown -78.2%).
Sharpe leader (same as main): EMA 크로스오버 — CAGR 2.9%, MDD -59.9%, Sharpe 0.24, 55% exposure.
Return/drawdown alternative: SMA 크로스오버 — CAGR is 1.3%p higher than buy and hold, while drawdown improves by 18.3%p (CAGR 2.6%, MDD -52.4%, 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 |
|---|---|---|---|---|---|---|---|
| EMA 크로스오버 fast=63, slow=164 |
2.9% | -59.9% | 0.24 | 0.05 | 2.3x | 33 | 55% |
| SMA 크로스오버 fast=55, slow=286 |
2.6% | -52.4% | 0.22 | 0.05 | 2.1x | 29 | 55% |
| ROC 모멘텀 n=151, threshold=-0.04 |
1.6% | -58.9% | 0.19 | 0.03 | 1.6x | 171 | 65% |
| Donchian 채널 돌파 entryN=44, exitN=75 |
1.4% | -75.9% | 0.18 | 0.02 | 1.5x | 53 | 66% |
| ADX / DI 방향성 period=30, threshold=37 |
0.3% | -12.2% | 0.10 | 0.02 | 1.1x | 8 | 2% |
| 볼린저 밴드 돌파 n=43, k=3.5 |
0.4% | -32.1% | 0.09 | 0.01 | 1.1x | 38 | 10% |
| Supertrend period=27, mult=5 |
-2.7% | -77.9% | 0.02 | -0.04 | 0.5x | 161 | 55% |
| Keltner 채널 돌파 emaPeriod=41, atrPeriod=16, mult=3.9 |
-2.0% | -69.6% | -0.09 | -0.03 | 0.6x | 96 | 20% |
| MACD fast=23, slow=47, signal=20 |
-8.6% | -96.6% | -0.25 | -0.09 | 0.1x | 291 | 49% |
| Parabolic SAR step=0.005, maxStep=0.22 |
-8.7% | -95.3% | -0.27 | -0.09 | 0.1x | 205 | 52% |
| Buy and hold | 1.6% | -78.2% | 0.22 | 0.02 | 1.6x | 1 | 100% |
Rules of the top strategy
Uses two exponential averages (more weight on recent prices) and trades their crossover.
- Buy — Buy when the 63-day EMA crosses above the 164-day EMA
- Sell — Sell when the 63-day EMA falls below the 164-day EMA