Trend-Following Backtester · Guide · backtest 한국어
equity · US
The Bancorp, Inc. backtest
10 trend-following strategies were compared on the full daily history of The Bancorp, Inc.. 4 beat buy-and-hold CAGR; Donchian 채널 돌파 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is ROC 모멘텀 (CAGR 7.4%, MDD -48.4%).
Results by strategy
4 of 10 beat buy and hold (CAGR 6.6%, drawdown -92.7%).
Sharpe leader (same as main): Donchian 채널 돌파 — CAGR 12.1%, MDD -59.6%, Sharpe 0.50, 69% exposure.
Return/drawdown alternative: ROC 모멘텀 — CAGR is 5.5%p higher than buy and hold, while drawdown improves by 33.1%p (CAGR 7.4%, MDD -48.4%, 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 |
|---|---|---|---|---|---|---|---|
| Donchian 채널 돌파 entryN=47, exitN=79 |
12.1% | -59.6% | 0.50 | 0.20 | 13.0x | 35 | 69% |
| SMA 크로스오버 fast=11, slow=229 |
8.7% | -58.1% | 0.42 | 0.15 | 6.5x | 43 | 58% |
| ROC 모멘텀 n=145, threshold=-0.02 |
7.4% | -48.4% | 0.39 | 0.15 | 5.0x | 136 | 59% |
| EMA 크로스오버 fast=46, slow=63 |
6.6% | -67.1% | 0.36 | 0.10 | 4.2x | 53 | 60% |
| 볼린저 밴드 돌파 n=57, k=3.3 |
4.4% | -45.5% | 0.35 | 0.10 | 2.6x | 24 | 14% |
| Parabolic SAR step=0.01, maxStep=0.04 |
5.4% | -68.9% | 0.33 | 0.08 | 3.3x | 215 | 53% |
| MACD fast=12, slow=56, signal=34 |
4.5% | -83.6% | 0.30 | 0.05 | 2.7x | 205 | 52% |
| Supertrend period=16, mult=2.8 |
3.7% | -73.8% | 0.28 | 0.05 | 2.3x | 155 | 52% |
| Keltner 채널 돌파 emaPeriod=29, atrPeriod=11, mult=2.8 |
3.0% | -48.2% | 0.25 | 0.06 | 1.9x | 83 | 21% |
| ADX / DI 방향성 period=50, threshold=25 |
1.1% | -15.5% | 0.21 | 0.07 | 1.3x | 2 | 1% |
| Buy and hold | 6.6% | -92.7% | 0.38 | 0.07 | 4.2x | 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 47 days
- Sell — Sell when price breaks below the lowest low of the last 79 days