Trend-Following Backtester · Guide · backtest 한국어
equity · US
Metropolitan Bank Holding Corp. backtest
10 trend-following strategies were compared on the full daily history of Metropolitan Bank Holding Corp.. 10 beat buy-and-hold CAGR; Supertrend ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is Keltner 채널 돌파 (CAGR 11.5%, MDD -30.9%).
Results by strategy
10 of 10 beat buy and hold (CAGR 10.6%, drawdown -82.3%).
Sharpe leader (same as main): Supertrend — CAGR 19.1%, MDD -55.2%, Sharpe 0.72, 54% exposure.
Return/drawdown alternative: Keltner 채널 돌파 — CAGR is 8.5%p higher than buy and hold, while drawdown improves by 27.1%p (CAGR 11.5%, MDD -30.9%, exposure 42%).
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 |
|---|---|---|---|---|---|---|---|
| Supertrend period=5, mult=2.2 |
19.1% | -55.2% | 0.72 | 0.35 | 4.7x | 76 | 54% |
| Parabolic SAR step=0.005, maxStep=0.14 |
18.3% | -43.6% | 0.68 | 0.42 | 4.4x | 74 | 54% |
| SMA 크로스오버 fast=4, slow=189 |
15.8% | -38.5% | 0.66 | 0.41 | 3.6x | 21 | 54% |
| Donchian 채널 돌파 entryN=27, exitN=28 |
16.0% | -42.5% | 0.63 | 0.38 | 3.7x | 34 | 59% |
| ROC 모멘텀 n=48, threshold=-0.04 |
16.5% | -53.1% | 0.63 | 0.31 | 3.8x | 103 | 66% |
| EMA 크로스오버 fast=14, slow=89 |
14.1% | -37.4% | 0.60 | 0.38 | 3.2x | 30 | 56% |
| 볼린저 밴드 돌파 n=56, k=1.3 |
13.1% | -31.5% | 0.59 | 0.42 | 3.0x | 42 | 45% |
| ADX / DI 방향성 period=17, threshold=12 |
13.2% | -38.2% | 0.56 | 0.35 | 3.0x | 140 | 53% |
| Keltner 채널 돌파 emaPeriod=34, atrPeriod=29, mult=1.5 |
11.5% | -30.9% | 0.55 | 0.37 | 2.6x | 62 | 42% |
| MACD fast=11, slow=54, signal=14 |
11.1% | -63.5% | 0.48 | 0.17 | 2.5x | 120 | 49% |
| Buy and hold | 10.6% | -82.3% | 0.47 | 0.13 | 2.4x | 1 | 100% |
Rules of the top strategy
Trades the direction of a volatility-based trend line that trails below/above price.
- Buy — Buy when price moves above the trend line (flips up) — 5-day volatility, 2.2× band
- Sell — Sell when price drops below the trend line (flips down)