Trend-Following Backtester · Guide · backtest 한국어
equity · US
Peoples Financial Services Corp. backtest
10 trend-following strategies were compared on the full daily history of Peoples Financial Services Corp.. 1 beat buy-and-hold CAGR; ADX / DI 방향성 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is SMA 크로스오버 (CAGR 5.9%, MDD -41.1%).
Results by strategy
1 of 10 beat buy and hold (CAGR 5.7%, drawdown -58.1%).
Sharpe leader (same as main): ADX / DI 방향성 — CAGR 3.5%, MDD -14.9%, Sharpe 0.41, 8% exposure.
CAGR reference leader: SMA 크로스오버 — CAGR 5.9%, MDD -41.1%, exposure 59%.
Return/drawdown alternative: SMA 크로스오버 — CAGR is 2.2%p lower than buy and hold, while drawdown improves by 43.3%p (CAGR 5.9%, MDD -41.1%, exposure 59%).
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=52, threshold=24 |
3.5% | -14.9% | 0.41 | 0.23 | 2.3x | 6 | 8% |
| SMA 크로스오버 fast=68, slow=196 |
5.9% | -41.1% | 0.35 | 0.14 | 4.0x | 31 | 59% |
| EMA 크로스오버 fast=57, slow=186 |
3.0% | -67.2% | 0.25 | 0.05 | 2.1x | 29 | 59% |
| Donchian 채널 돌파 entryN=113, exitN=79 |
1.7% | -65.6% | 0.18 | 0.03 | 1.5x | 29 | 48% |
| ROC 모멘텀 n=182, threshold=0 |
-2.3% | -77.8% | 0.01 | -0.03 | 0.6x | 203 | 57% |
| 볼린저 밴드 돌파 n=27, k=3.5 |
-1.2% | -51.5% | -0.09 | -0.02 | 0.7x | 36 | 7% |
| Parabolic SAR step=0.005, maxStep=0.36 |
-4.8% | -88.2% | -0.09 | -0.05 | 0.3x | 163 | 52% |
| Keltner 채널 돌파 emaPeriod=53, atrPeriod=10, mult=3.7 |
-5.1% | -85.0% | -0.31 | -0.06 | 0.3x | 83 | 20% |
| Supertrend period=21, mult=5 |
-11.2% | -97.8% | -0.36 | -0.11 | 0.1x | 153 | 54% |
| MACD fast=18, slow=31, signal=21 |
-15.2% | -98.9% | -0.58 | -0.15 | 0.0x | 357 | 49% |
| Buy and hold | 5.7% | -58.1% | 0.33 | 0.10 | 3.8x | 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, 52-day) is ≥ 24
- Sell — Sell when direction flips or the trend weakens (ADX < 24)