Trend-Following Backtester · Guide · backtest 한국어
equity · US
Byline Bancorp, Inc. backtest
10 trend-following strategies were compared on the full daily history of Byline Bancorp, Inc.. 2 beat buy-and-hold CAGR; ROC 모멘텀 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is ROC 모멘텀 (CAGR 9.8%, MDD -29.8%).
Results by strategy
2 of 10 beat buy and hold (CAGR 7.1%, drawdown -64.9%).
Sharpe leader (same as main): ROC 모멘텀 — CAGR 9.8%, MDD -29.8%, Sharpe 0.58, 40% exposure.
CAGR reference leader: Donchian 채널 돌파 — CAGR 10.0%, MDD -44.9%, exposure 88%.
Return/drawdown alternative: ROC 모멘텀 — CAGR is 2.7%p higher than buy and hold, while drawdown improves by 35.1%p (CAGR 9.8%, MDD -29.8%, exposure 40%).
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 |
|---|---|---|---|---|---|---|---|
| ROC 모멘텀 n=154, threshold=0.07 |
9.8% | -29.8% | 0.58 | 0.33 | 2.4x | 47 | 40% |
| Donchian 채널 돌파 entryN=14, exitN=133 |
10.0% | -44.9% | 0.47 | 0.22 | 2.4x | 15 | 88% |
| Supertrend period=11, mult=4.8 |
5.3% | -46.7% | 0.33 | 0.11 | 1.6x | 25 | 68% |
| MACD fast=14, slow=46, signal=17 |
5.0% | -37.8% | 0.32 | 0.13 | 1.6x | 110 | 45% |
| EMA 크로스오버 fast=23, slow=233 |
3.8% | -40.1% | 0.29 | 0.09 | 1.4x | 13 | 48% |
| SMA 크로스오버 fast=10, slow=155 |
3.8% | -41.8% | 0.28 | 0.09 | 1.4x | 35 | 53% |
| Parabolic SAR step=0.015, maxStep=0.18 |
-1.6% | -53.0% | 0.05 | -0.03 | 0.9x | 162 | 53% |
| 볼린저 밴드 돌파 n=48, k=3.1 |
-0.2% | -23.7% | 0.04 | -0.01 | 1.0x | 19 | 19% |
| Keltner 채널 돌파 emaPeriod=43, atrPeriod=23, mult=1.4 |
-1.9% | -43.9% | 0.00 | -0.04 | 0.8x | 75 | 39% |
| ADX / DI 방향성 period=31, threshold=8 |
-4.1% | -55.3% | -0.07 | -0.07 | 0.7x | 131 | 55% |
| Buy and hold | 7.1% | -64.9% | 0.37 | 0.11 | 1.9x | 1 | 100% |
Rules of the top strategy
Rides the trend when recent return (momentum) over a window is above a threshold.
- Buy — Buy when the last 154-day return is greater than 7%
- Sell — Sell when the 154-day return drops to 7% or below