Trend-Following Backtester · Guide · backtest 한국어
equity · US
South Plains Financial, Inc. backtest
10 trend-following strategies were compared on the full daily history of South Plains Financial, Inc.. 2 beat buy-and-hold CAGR; MACD ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is MACD (CAGR 16.0%, MDD -24.4%).
Results by strategy
2 of 10 beat buy and hold (CAGR 13.6%, drawdown -46.8%).
Sharpe leader (same as main): MACD — CAGR 16.0%, MDD -24.4%, Sharpe 0.77, 48% exposure.
Return/drawdown alternative: MACD — CAGR is 2.4%p higher than buy and hold, while drawdown improves by 22.4%p (CAGR 16.0%, MDD -24.4%, exposure 48%).
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 |
|---|---|---|---|---|---|---|---|
| MACD fast=34, slow=82, signal=15 |
16.0% | -24.4% | 0.77 | 0.66 | 2.9x | 41 | 48% |
| Donchian 채널 돌파 entryN=55, exitN=73 |
14.9% | -25.4% | 0.68 | 0.59 | 2.7x | 7 | 74% |
| Supertrend period=21, mult=3.5 |
13.1% | -27.9% | 0.67 | 0.47 | 2.4x | 21 | 60% |
| SMA 크로스오버 fast=41, slow=75 |
12.9% | -42.1% | 0.61 | 0.31 | 2.4x | 21 | 61% |
| EMA 크로스오버 fast=25, slow=44 |
11.5% | -33.8% | 0.59 | 0.34 | 2.2x | 23 | 60% |
| ROC 모멘텀 n=77, threshold=-0.09 |
12.6% | -42.2% | 0.58 | 0.30 | 2.4x | 47 | 79% |
| 볼린저 밴드 돌파 n=14, k=3.1 |
1.8% | -8.2% | 0.39 | 0.22 | 1.1x | 4 | 4% |
| Keltner 채널 돌파 emaPeriod=54, atrPeriod=9, mult=1.6 |
5.5% | -31.1% | 0.37 | 0.18 | 1.5x | 41 | 46% |
| ADX / DI 방향성 period=32, threshold=27 |
0.9% | -4.3% | 0.27 | 0.21 | 1.1x | 4 | 2% |
| Parabolic SAR step=0.015, maxStep=0.32 |
-11.5% | -66.3% | -0.33 | -0.17 | 0.4x | 143 | 55% |
| Buy and hold | 13.6% | -46.8% | 0.53 | 0.29 | 2.5x | 1 | 100% |
Rules of the top strategy
Looks at the gap (MACD) between a short and long average crossing its own signal line.
- Buy — Buy when the MACD line (34/82) crosses above its 15-day signal line
- Sell — Sell when the MACD line crosses back below the signal line