Trend-Following Backtester · Guide · backtest 한국어
equity · US
MVB Financial Corp. backtest
10 trend-following strategies were compared on the full daily history of MVB Financial Corp.. 7 beat buy-and-hold CAGR; ADX / DI 방향성 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is ADX / DI 방향성 (CAGR 8.3%, MDD -13.7%).
Results by strategy
7 of 10 beat buy and hold (CAGR 6.9%, drawdown -65.1%).
Sharpe leader (same as main): ADX / DI 방향성 — CAGR 8.3%, MDD -13.7%, Sharpe 0.72, 10% exposure.
CAGR reference leader: SMA 크로스오버 — CAGR 11.3%, MDD -36.2%, exposure 50%.
Return/drawdown alternative: ADX / DI 방향성 — CAGR is 1.4%p higher than buy and hold, while drawdown improves by 51.4%p (CAGR 8.3%, MDD -13.7%, 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 |
|---|---|---|---|---|---|---|---|
| ADX / DI 방향성 period=27, threshold=33 |
8.3% | -13.7% | 0.72 | 0.61 | 3.1x | 10 | 10% |
| 볼린저 밴드 돌파 n=56, k=2.1 |
11.2% | -41.1% | 0.66 | 0.27 | 4.4x | 37 | 32% |
| Donchian 채널 돌파 entryN=95, exitN=52 |
9.6% | -29.9% | 0.60 | 0.32 | 3.6x | 17 | 32% |
| ROC 모멘텀 n=78, threshold=0.13 |
8.7% | -45.9% | 0.60 | 0.19 | 3.2x | 81 | 22% |
| SMA 크로스오버 fast=27, slow=32 |
11.3% | -36.2% | 0.57 | 0.31 | 4.5x | 167 | 50% |
| Keltner 채널 돌파 emaPeriod=73, atrPeriod=15, mult=3.2 |
6.6% | -55.7% | 0.45 | 0.12 | 2.5x | 44 | 32% |
| EMA 크로스오버 fast=27, slow=70 |
7.5% | -59.0% | 0.43 | 0.13 | 2.7x | 41 | 49% |
| Parabolic SAR step=0.005, maxStep=0.06 |
7.5% | -46.8% | 0.42 | 0.16 | 2.8x | 95 | 50% |
| Supertrend period=20, mult=4.6 |
0.8% | -66.2% | 0.15 | 0.01 | 1.1x | 87 | 53% |
| MACD fast=13, slow=35, signal=19 |
0.5% | -61.4% | 0.14 | 0.01 | 1.1x | 169 | 49% |
| Buy and hold | 6.9% | -65.1% | 0.37 | 0.11 | 2.5x | 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, 27-day) is ≥ 33
- Sell — Sell when direction flips or the trend weakens (ADX < 33)