Trend-Following Backtester · Guide · backtest 한국어
equity · US
Midland States Bancorp, Inc. backtest
10 trend-following strategies were compared on the full daily history of Midland States Bancorp, Inc.. 8 beat buy-and-hold CAGR; 볼린저 밴드 돌파 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is ADX / DI 방향성 (CAGR 4.5%, MDD -18.3%).
Results by strategy
8 of 10 beat buy and hold (CAGR 4.3%, drawdown -65.8%).
Sharpe leader (same as main): 볼린저 밴드 돌파 — CAGR 10.4%, MDD -25.5%, Sharpe 0.71, 23% exposure.
CAGR reference leader: Keltner 채널 돌파 — CAGR 11.0%, MDD -24.9%, exposure 28%.
Return/drawdown alternative: ADX / DI 방향성 — CAGR is 6.2%p higher than buy and hold, while drawdown improves by 40.3%p (CAGR 4.5%, MDD -18.3%, exposure 9%).
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 |
|---|---|---|---|---|---|---|---|
| 볼린저 밴드 돌파 n=51, k=2.6 |
10.4% | -25.5% | 0.71 | 0.41 | 2.7x | 23 | 23% |
| Keltner 채널 돌파 emaPeriod=32, atrPeriod=11, mult=2 |
11.0% | -24.9% | 0.71 | 0.44 | 2.9x | 43 | 28% |
| Donchian 채널 돌파 entryN=20, exitN=11 |
8.7% | -39.9% | 0.53 | 0.22 | 2.3x | 61 | 38% |
| ADX / DI 방향성 period=31, threshold=23 |
4.5% | -18.3% | 0.52 | 0.25 | 1.6x | 19 | 9% |
| Supertrend period=26, mult=4.5 |
7.9% | -45.7% | 0.46 | 0.17 | 2.2x | 31 | 54% |
| EMA 크로스오버 fast=13, slow=14 |
7.5% | -43.2% | 0.44 | 0.17 | 2.1x | 117 | 50% |
| SMA 크로스오버 fast=43, slow=62 |
6.7% | -42.7% | 0.43 | 0.16 | 1.9x | 55 | 50% |
| MACD fast=24, slow=64, signal=19 |
6.6% | -43.4% | 0.39 | 0.15 | 1.9x | 85 | 49% |
| ROC 모멘텀 n=118, threshold=0.13 |
4.0% | -56.4% | 0.32 | 0.07 | 1.5x | 73 | 25% |
| Parabolic SAR step=0.005, maxStep=0.38 |
1.9% | -63.7% | 0.19 | 0.03 | 1.2x | 83 | 47% |
| Buy and hold | 4.3% | -65.8% | 0.30 | 0.06 | 1.5x | 1 | 100% |
Rules of the top strategy
Breaking above the upper band (average plus a multiple of volatility) signals a strong move up.
- Buy — Buy when the close breaks above the upper band of the 51-day average (2.6× volatility)
- Sell — Sell when the close falls back to the 51-day middle average