Trend-Following Backtester · Guide · backtest 한국어
equity · US
Southern Missouri Bancorp, Inc. backtest
10 trend-following strategies were compared on the full daily history of Southern Missouri Bancorp, Inc.. 0 beat buy-and-hold CAGR; Donchian 채널 돌파 ranks first by Sharpe, matching the main backtester.
Results by strategy
0 of 10 beat buy and hold (CAGR 11.1%, drawdown -55.3%).
Sharpe leader (same as main): Donchian 채널 돌파 — CAGR 9.3%, MDD -45.0%, Sharpe 0.49, 65% exposure.
No strategy retained at least 75% of buy-and-hold CAGR while reducing drawdown by both 20% relatively and 5 percentage points absolutely.
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 |
|---|---|---|---|---|---|---|---|
| Donchian 채널 돌파 entryN=89, exitN=78 |
9.3% | -45.0% | 0.49 | 0.21 | 17.8x | 35 | 65% |
| EMA 크로스오버 fast=38, slow=129 |
7.7% | -53.3% | 0.43 | 0.14 | 11.0x | 55 | 66% |
| SMA 크로스오버 fast=33, slow=180 |
7.7% | -56.9% | 0.43 | 0.14 | 10.9x | 49 | 65% |
| 볼린저 밴드 돌파 n=59, k=3.5 |
4.0% | -31.1% | 0.35 | 0.13 | 3.6x | 42 | 16% |
| ROC 모멘텀 n=109, threshold=-0.15 |
5.9% | -69.1% | 0.34 | 0.08 | 6.3x | 109 | 90% |
| Supertrend period=32, mult=4.8 |
3.2% | -69.8% | 0.25 | 0.05 | 2.7x | 117 | 60% |
| ADX / DI 방향성 period=38, threshold=19 |
2.5% | -30.0% | 0.25 | 0.08 | 2.2x | 63 | 17% |
| Keltner 채널 돌파 emaPeriod=51, atrPeriod=35, mult=2.5 |
2.2% | -58.7% | 0.21 | 0.04 | 2.0x | 139 | 35% |
| MACD fast=40, slow=60, signal=68 |
2.0% | -79.8% | 0.20 | 0.03 | 1.9x | 177 | 52% |
| Parabolic SAR step=0.005, maxStep=0.08 |
0.1% | -77.6% | 0.12 | 0.00 | 1.0x | 219 | 57% |
| Buy and hold | 11.1% | -55.3% | 0.48 | 0.20 | 30.1x | 1 | 100% |
Rules of the top strategy
A new high means a trend starting; a new low means it’s over (turtle-trading style).
- Buy — Buy on a breakout above the highest high of the last 89 days
- Sell — Sell when price breaks below the lowest low of the last 78 days