Trend-Following Backtester · Guide · backtest 한국어
equity · US
Simmons First National Corporation backtest
10 trend-following strategies were compared on the full daily history of Simmons First National Corporation. 1 beat buy-and-hold CAGR; 볼린저 밴드 돌파 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is 볼린저 밴드 돌파 (CAGR 5.1%, MDD -42.4%).
Results by strategy
1 of 10 beat buy and hold (CAGR 5.5%, drawdown -66.0%).
Sharpe leader (same as main): 볼린저 밴드 돌파 — CAGR 5.1%, MDD -42.4%, Sharpe 0.48, 21% exposure.
CAGR reference leader: SMA 크로스오버 — CAGR 6.0%, MDD -54.5%, exposure 60%.
Return/drawdown alternative: 볼린저 밴드 돌파 — CAGR is 0.4%p lower than buy and hold, while drawdown improves by 23.6%p (CAGR 5.1%, MDD -42.4%, exposure 21%).
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=56, k=3.1 |
5.1% | -42.4% | 0.48 | 0.12 | 7.8x | 48 | 21% |
| ADX / DI 방향성 period=24, threshold=26 |
3.6% | -34.6% | 0.42 | 0.10 | 4.4x | 40 | 25% |
| SMA 크로스오버 fast=27, slow=157 |
6.0% | -54.5% | 0.36 | 0.11 | 11.0x | 79 | 60% |
| EMA 크로스오버 fast=40, slow=139 |
5.1% | -65.7% | 0.33 | 0.08 | 7.9x | 61 | 61% |
| ROC 모멘텀 Hold-like · Exposure 100% n=5, threshold=-0.13 |
4.0% | -66.1% | 0.29 | 0.06 | 5.0x | 33 | 100% |
| Keltner 채널 돌파 emaPeriod=33, atrPeriod=24, mult=4 |
2.1% | -32.5% | 0.27 | 0.06 | 2.3x | 38 | 9% |
| Donchian 채널 돌파 entryN=72, exitN=65 |
2.2% | -78.1% | 0.21 | 0.03 | 2.4x | 73 | 48% |
| Supertrend period=9, mult=4.3 |
-0.4% | -78.1% | 0.11 | -0.01 | 0.8x | 127 | 59% |
| MACD fast=31, slow=56, signal=19 |
-5.3% | -97.3% | -0.13 | -0.05 | 0.1x | 365 | 49% |
| Parabolic SAR step=0.005, maxStep=0.3 |
-5.9% | -98.4% | -0.13 | -0.06 | 0.1x | 326 | 57% |
| Buy and hold | 5.5% | -66.0% | 0.33 | 0.08 | 9.1x | 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 56-day average (3.1× volatility)
- Sell — Sell when the close falls back to the 56-day middle average