Trend-Following Backtester · Guide · backtest 한국어
equity · US
Amerant Bancorp Inc. backtest
10 trend-following strategies were compared on the full daily history of Amerant Bancorp Inc.. 10 beat buy-and-hold CAGR; Donchian 채널 돌파 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is Keltner 채널 돌파 (CAGR 7.3%, MDD -33.0%).
Results by strategy
10 of 10 beat buy and hold (CAGR -0.6%, drawdown -69.1%).
Sharpe leader (same as main): Donchian 채널 돌파 — CAGR 13.7%, MDD -52.3%, Sharpe 0.54, 76% exposure.
Return/drawdown alternative: Keltner 채널 돌파 — CAGR is 14.4%p higher than buy and hold, while drawdown improves by 16.9%p (CAGR 7.3%, MDD -33.0%, exposure 38%).
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=11, exitN=31 |
13.7% | -52.3% | 0.54 | 0.26 | 2.8x | 33 | 76% |
| ROC 모멘텀 n=154, threshold=0.07 |
10.1% | -40.5% | 0.51 | 0.25 | 2.1x | 51 | 46% |
| SMA 크로스오버 fast=4, slow=181 |
9.3% | -54.3% | 0.48 | 0.17 | 2.0x | 23 | 50% |
| Keltner 채널 돌파 emaPeriod=64, atrPeriod=26, mult=1.8 |
7.3% | -33.0% | 0.41 | 0.22 | 1.7x | 31 | 38% |
| MACD fast=17, slow=37, signal=6 |
8.3% | -50.9% | 0.41 | 0.16 | 1.9x | 122 | 50% |
| ADX / DI 방향성 period=32, threshold=12 |
6.6% | -50.2% | 0.38 | 0.13 | 1.6x | 73 | 41% |
| 볼린저 밴드 돌파 n=57, k=1 |
5.3% | -44.9% | 0.33 | 0.12 | 1.5x | 45 | 45% |
| EMA 크로스오버 fast=14, slow=75 |
2.3% | -64.5% | 0.22 | 0.04 | 1.2x | 31 | 51% |
| Supertrend period=27, mult=5 |
1.5% | -63.0% | 0.21 | 0.02 | 1.1x | 23 | 62% |
| Parabolic SAR step=0.005, maxStep=0.38 |
1.3% | -47.5% | 0.20 | 0.03 | 1.1x | 66 | 50% |
| Buy and hold | -0.6% | -69.1% | 0.23 | -0.01 | 1.0x | 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 11 days
- Sell — Sell when price breaks below the lowest low of the last 31 days