Trend-Following Backtester · Guide · backtest 한국어
equity · US
M&T Bank Corporation backtest
10 trend-following strategies were compared on the full daily history of M&T Bank Corporation. 0 beat buy-and-hold CAGR; SMA 크로스오버 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is SMA 크로스오버 (CAGR 11.2%, MDD -40.9%).
Results by strategy
0 of 10 beat buy and hold (CAGR 14.1%, drawdown -75.5%).
Sharpe leader (same as main): SMA 크로스오버 — CAGR 11.2%, MDD -40.9%, Sharpe 0.65, 75% exposure.
Return/drawdown alternative: SMA 크로스오버 — CAGR is 2.9%p lower than buy and hold, while drawdown improves by 34.6%p (CAGR 11.2%, MDD -40.9%, exposure 75%).
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 |
|---|---|---|---|---|---|---|---|
| SMA 크로스오버 fast=15, slow=380 |
11.2% | -40.9% | 0.65 | 0.27 | 137.9x | 51 | 75% |
| Donchian 채널 돌파 entryN=18, exitN=36 |
10.5% | -55.0% | 0.58 | 0.19 | 102.2x | 177 | 73% |
| EMA 크로스오버 fast=58, slow=146 |
9.3% | -46.7% | 0.56 | 0.20 | 62.3x | 69 | 73% |
| ADX / DI 방향성 period=59, threshold=12 |
6.5% | -35.9% | 0.56 | 0.18 | 18.3x | 120 | 38% |
| Keltner 채널 돌파 emaPeriod=65, atrPeriod=16, mult=3.5 |
6.4% | -40.1% | 0.53 | 0.16 | 17.6x | 131 | 40% |
| 볼린저 밴드 돌파 n=50, k=2.9 |
5.4% | -30.5% | 0.50 | 0.18 | 11.3x | 94 | 24% |
| Supertrend period=8, mult=3.8 |
6.9% | -64.0% | 0.45 | 0.11 | 22.5x | 247 | 59% |
| ROC 모멘텀 n=100, threshold=-0.04 |
4.3% | -83.9% | 0.31 | 0.05 | 7.2x | 319 | 77% |
| Parabolic SAR step=0.02, maxStep=0.24 |
4.2% | -96.0% | 0.31 | 0.04 | 6.9x | 896 | 55% |
| MACD fast=19, slow=54, signal=32 |
3.7% | -68.3% | 0.28 | 0.05 | 5.3x | 401 | 51% |
| Buy and hold | 14.1% | -75.5% | 0.61 | 0.19 | 455.9x | 1 | 100% |
Rules of the top strategy
When the short average rises above the long average, it reads that as an uptrend starting.
- Buy — Buy when the 15-day average price crosses above the 380-day average
- Sell — Sell (to cash) when the 15-day average falls below the 380-day average