Trend-Following Backtester · Guide · backtest 한국어
equity · US
Old Second Bancorp, Inc. backtest
10 trend-following strategies were compared on the full daily history of Old Second Bancorp, Inc.. 4 beat buy-and-hold CAGR; EMA 크로스오버 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is 볼린저 밴드 돌파 (CAGR 6.0%, MDD -27.6%).
Results by strategy
4 of 10 beat buy and hold (CAGR 4.7%, drawdown -97.9%).
Sharpe leader (same as main): EMA 크로스오버 — CAGR 8.7%, MDD -62.4%, Sharpe 0.46, 61% exposure.
Return/drawdown alternative: 볼린저 밴드 돌파 — CAGR is 4.0%p higher than buy and hold, while drawdown improves by 35.5%p (CAGR 6.0%, MDD -27.6%, exposure 16%).
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=43, slow=204 |
8.7% | -62.4% | 0.46 | 0.14 | 15.5x | 37 | 61% |
| 볼린저 밴드 돌파 n=57, k=3.1 |
6.0% | -27.6% | 0.42 | 0.22 | 6.6x | 42 | 16% |
| SMA 크로스오버 fast=37, slow=219 |
7.1% | -67.1% | 0.39 | 0.11 | 9.3x | 41 | 61% |
| Donchian 채널 돌파 entryN=12, exitN=59 |
5.0% | -85.4% | 0.31 | 0.06 | 4.9x | 117 | 85% |
| ROC 모멘텀 n=198, threshold=0.04 |
3.9% | -70.7% | 0.28 | 0.06 | 3.5x | 253 | 56% |
| Keltner 채널 돌파 emaPeriod=34, atrPeriod=18, mult=4 |
2.6% | -32.4% | 0.24 | 0.08 | 2.3x | 50 | 11% |
| Supertrend period=16, mult=4.9 |
1.9% | -89.2% | 0.22 | 0.02 | 1.8x | 105 | 60% |
| ADX / DI 방향성 period=39, threshold=18 |
1.9% | -63.0% | 0.19 | 0.03 | 1.9x | 78 | 21% |
| Parabolic SAR step=0.005, maxStep=0.24 |
-0.3% | -85.9% | 0.15 | -0.00 | 0.9x | 277 | 56% |
| MACD fast=31, slow=52, signal=24 |
-2.0% | -92.0% | 0.10 | -0.02 | 0.5x | 311 | 49% |
| Buy and hold | 4.7% | -97.9% | 0.32 | 0.05 | 4.5x | 1 | 100% |
Rules of the top strategy
Uses two exponential averages (more weight on recent prices) and trades their crossover.
- Buy — Buy when the 43-day EMA crosses above the 204-day EMA
- Sell — Sell when the 43-day EMA falls below the 204-day EMA