Trend-Following Backtester · Guide · backtest 한국어
equity · US
Westamerica Bancorporation backtest
10 trend-following strategies were compared on the full daily history of Westamerica Bancorporation. 0 beat buy-and-hold CAGR; ADX / DI 방향성 ranks first by Sharpe, matching the main backtester.
Results by strategy
0 of 10 beat buy and hold (CAGR 7.2%, drawdown -59.8%).
Sharpe leader (same as main): ADX / DI 방향성 — CAGR 3.1%, MDD -28.5%, Sharpe 0.39, 12% exposure.
CAGR reference leader: SMA 크로스오버 — CAGR 3.2%, MDD -73.0%, exposure 62%.
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 |
|---|---|---|---|---|---|---|---|
| ADX / DI 방향성 period=36, threshold=34 |
3.1% | -28.5% | 0.39 | 0.11 | 4.0x | 28 | 12% |
| SMA 크로스오버 fast=53, slow=234 |
3.2% | -73.0% | 0.25 | 0.04 | 4.3x | 63 | 62% |
| Donchian 채널 돌파 entryN=11, exitN=66 |
2.5% | -87.5% | 0.22 | 0.03 | 3.2x | 149 | 81% |
| ROC 모멘텀 n=126, threshold=-0.15 |
2.3% | -86.0% | 0.21 | 0.03 | 2.8x | 143 | 92% |
| 볼린저 밴드 돌파 n=17, k=3.3 |
0.8% | -23.7% | 0.18 | 0.03 | 1.4x | 38 | 3% |
| Supertrend period=11, mult=3.5 |
1.2% | -82.4% | 0.16 | 0.01 | 1.8x | 219 | 55% |
| Parabolic SAR step=0.005, maxStep=0.36 |
0.9% | -90.7% | 0.14 | 0.01 | 1.5x | 370 | 53% |
| EMA 크로스오버 fast=59, slow=179 |
0.6% | -89.7% | 0.13 | 0.01 | 1.3x | 87 | 64% |
| Keltner 채널 돌파 emaPeriod=13, atrPeriod=20, mult=2.5 |
0.7% | -30.8% | 0.12 | 0.02 | 1.4x | 94 | 7% |
| MACD fast=14, slow=43, signal=19 |
-2.6% | -89.4% | -0.05 | -0.03 | 0.3x | 572 | 49% |
| Buy and hold | 7.2% | -59.8% | 0.39 | 0.12 | 25.7x | 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, 36-day) is ≥ 34
- Sell — Sell when direction flips or the trend weakens (ADX < 34)