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 6.0%, MDD -43.7%).
Results by strategy
1 of 10 beat buy and hold (CAGR 5.5%, drawdown -58.1%).
Sharpe leader (same as main): ADX / DI 방향성 — CAGR 3.2%, MDD -14.9%, Sharpe 0.44, 6% exposure.
CAGR reference leader: SMA 크로스오버 — CAGR 6.0%, MDD -43.7%, exposure 58%.
Return/drawdown alternative: SMA 크로스오버 — CAGR is 2.3%p lower than buy and hold, while drawdown improves by 43.3%p (CAGR 6.0%, MDD -43.7%, exposure 58%).
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=40, threshold=31 |
3.2% | -14.9% | 0.44 | 0.22 | 2.1x | 6 | 6% |
| SMA 크로스오버 fast=93, slow=142 |
6.0% | -43.7% | 0.36 | 0.14 | 4.1x | 49 | 58% |
| Donchian 채널 돌파 entryN=102, exitN=105 |
2.7% | -63.2% | 0.23 | 0.04 | 1.9x | 23 | 56% |
| EMA 크로스오버 fast=43, slow=110 |
2.5% | -67.2% | 0.22 | 0.04 | 1.8x | 43 | 60% |
| 볼린저 밴드 돌파 n=59, k=3.5 |
0.1% | -43.5% | 0.07 | 0.00 | 1.0x | 28 | 11% |
| ROC 모멘텀 n=149, threshold=-0.02 |
-2.7% | -82.2% | 0.00 | -0.03 | 0.5x | 245 | 63% |
| Parabolic SAR step=0.005, maxStep=0.38 |
-5.0% | -88.2% | -0.11 | -0.06 | 0.3x | 165 | 51% |
| MACD fast=38, slow=62, signal=51 |
-6.1% | -88.5% | -0.17 | -0.07 | 0.2x | 150 | 51% |
| Keltner 채널 돌파 emaPeriod=75, atrPeriod=9, mult=4 |
-4.4% | -83.2% | -0.24 | -0.05 | 0.3x | 71 | 23% |
| Supertrend period=21, mult=5 |
-11.3% | -97.8% | -0.36 | -0.12 | 0.1x | 153 | 55% |
| Buy and hold | 5.5% | -58.1% | 0.33 | 0.09 | 3.7x | 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, 40-day) is ≥ 31
- Sell — Sell when direction flips or the trend weakens (ADX < 31)