Trend-Following Backtester · Guide · backtest 한국어
equity · US
West Bancorporation backtest
10 trend-following strategies were compared on the full daily history of West Bancorporation. 2 beat buy-and-hold CAGR; EMA 크로스오버 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is SMA 크로스오버 (CAGR 3.0%, MDD -47.3%).
Results by strategy
2 of 10 beat buy and hold (CAGR 2.8%, drawdown -78.2%).
Sharpe leader (same as main): EMA 크로스오버 — CAGR 4.5%, MDD -54.9%, Sharpe 0.30, 57% exposure.
Return/drawdown alternative: SMA 크로스오버 — CAGR is 1.7%p higher than buy and hold, while drawdown improves by 23.3%p (CAGR 3.0%, MDD -47.3%, exposure 53%).
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 |
|---|---|---|---|---|---|---|---|
| EMA 크로스오버 fast=37, slow=166 |
4.5% | -54.9% | 0.30 | 0.08 | 3.3x | 31 | 57% |
| SMA 크로스오버 fast=56, slow=186 |
3.0% | -47.3% | 0.24 | 0.06 | 2.3x | 43 | 53% |
| 볼린저 밴드 돌파 n=48, k=3.2 |
1.4% | -29.3% | 0.17 | 0.05 | 1.5x | 29 | 10% |
| ADX / DI 방향성 period=25, threshold=31 |
1.0% | -31.7% | 0.16 | 0.03 | 1.3x | 22 | 4% |
| Donchian 채널 돌파 entryN=11, exitN=99 |
-1.5% | -85.9% | 0.15 | -0.02 | 0.7x | 67 | 87% |
| Parabolic SAR step=0.005, maxStep=0.3 |
-5.5% | -81.4% | -0.08 | -0.07 | 0.2x | 209 | 48% |
| Supertrend period=59, mult=5 |
-4.8% | -78.8% | -0.09 | -0.06 | 0.3x | 87 | 43% |
| Keltner 채널 돌파 emaPeriod=51, atrPeriod=18, mult=4 |
-2.6% | -57.0% | -0.13 | -0.05 | 0.5x | 48 | 13% |
| ROC 모멘텀 n=149, threshold=0.03 |
-7.1% | -94.1% | -0.18 | -0.08 | 0.1x | 307 | 48% |
| MACD fast=17, slow=52, signal=18 |
-16.7% | -99.5% | -0.50 | -0.17 | 0.0x | 377 | 51% |
| Buy and hold | 2.8% | -78.2% | 0.28 | 0.04 | 2.1x | 1 | 100% |
Rules of the top strategy
Uses two exponential averages (more weight on recent prices) and trades their crossover.
- Buy — Buy when the 37-day EMA crosses above the 166-day EMA
- Sell — Sell when the 37-day EMA falls below the 166-day EMA