Trend-Following Backtester · Guide · backtest 한국어
equity · US
Bank of N.T. Butterfield & Son Limited (The) Voting backtest
10 trend-following strategies were compared on the full daily history of Bank of N.T. Butterfield & Son Limited (The) Voting. 3 beat buy-and-hold CAGR; Parabolic SAR ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is Parabolic SAR (CAGR 16.3%, MDD -29.0%).
Results by strategy
3 of 10 beat buy and hold (CAGR 9.0%, drawdown -71.9%).
Sharpe leader (same as main): Parabolic SAR — CAGR 16.3%, MDD -29.0%, Sharpe 0.76, 53% exposure.
Return/drawdown alternative: Parabolic SAR — CAGR is 7.3%p higher than buy and hold, while drawdown improves by 42.8%p (CAGR 16.3%, MDD -29.0%, 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 |
|---|---|---|---|---|---|---|---|
| Parabolic SAR step=0.02, maxStep=0.18 |
16.3% | -29.0% | 0.76 | 0.56 | 4.5x | 202 | 53% |
| Donchian 채널 돌파 entryN=21, exitN=71 |
11.9% | -38.9% | 0.55 | 0.31 | 3.1x | 25 | 77% |
| ROC 모멘텀 n=50, threshold=-0.06 |
9.6% | -38.2% | 0.48 | 0.25 | 2.5x | 85 | 77% |
| MACD fast=10, slow=35, signal=17 |
8.3% | -31.7% | 0.46 | 0.26 | 2.2x | 144 | 46% |
| Supertrend period=11, mult=1.4 |
5.5% | -30.8% | 0.35 | 0.18 | 1.7x | 186 | 53% |
| SMA 크로스오버 fast=24, slow=46 |
5.3% | -37.3% | 0.33 | 0.14 | 1.7x | 61 | 57% |
| EMA 크로스오버 fast=29, slow=197 |
4.4% | -54.0% | 0.31 | 0.08 | 1.5x | 15 | 57% |
| 볼린저 밴드 돌파 n=23, k=1.4 |
3.2% | -40.1% | 0.26 | 0.08 | 1.4x | 112 | 39% |
| Keltner 채널 돌파 emaPeriod=26, atrPeriod=9, mult=1 |
-1.5% | -54.3% | 0.02 | -0.03 | 0.9x | 128 | 43% |
| ADX / DI 방향성 period=35, threshold=31 |
-0.0% | -8.9% | 0.01 | -0.00 | 1.0x | 2 | 1% |
| Buy and hold | 9.0% | -71.9% | 0.42 | 0.13 | 2.4x | 1 | 100% |
Rules of the top strategy
Trades around the Parabolic SAR dots that accelerate toward price.
- Buy — Buy when price rises above the SAR dots
- Sell — Sell when price falls below the SAR dots