Trend-Following Backtester · Guide · backtest 한국어
equity · US
Origin Bancorp, Inc. backtest
10 trend-following strategies were compared on the full daily history of Origin Bancorp, Inc.. 0 beat buy-and-hold CAGR; ADX / DI 방향성 ranks first by Sharpe, matching the main backtester.
Results by strategy
0 of 10 beat buy and hold (CAGR 5.5%, drawdown -58.4%).
Sharpe leader (same as main): ADX / DI 방향성 — CAGR 0.4%, MDD -0.5%, Sharpe 0.35, 0% exposure.
CAGR reference leader: Keltner 채널 돌파 — CAGR 3.3%, MDD -36.5%, exposure 24%.
No strategy retained at least 75% of buy-and-hold CAGR while reducing drawdown by both 20% relatively and 5 percentage points absolutely.
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 |
|---|---|---|---|---|---|---|---|
| ADX / DI 방향성 period=35, threshold=28 |
0.4% | -0.5% | 0.35 | 0.71 | 1.0x | 2 | 0% |
| Keltner 채널 돌파 emaPeriod=45, atrPeriod=21, mult=2.8 |
3.3% | -36.5% | 0.30 | 0.09 | 1.3x | 23 | 24% |
| Supertrend period=11, mult=5 |
2.3% | -49.5% | 0.21 | 0.05 | 1.2x | 21 | 46% |
| Donchian 채널 돌파 entryN=23, exitN=59 |
1.9% | -52.2% | 0.20 | 0.04 | 1.2x | 23 | 70% |
| Parabolic SAR step=0.005, maxStep=0.36 |
1.9% | -50.6% | 0.20 | 0.04 | 1.2x | 70 | 54% |
| SMA 크로스오버 fast=46, slow=136 |
1.9% | -46.3% | 0.20 | 0.04 | 1.2x | 19 | 49% |
| 볼린저 밴드 돌파 n=34, k=2.6 |
1.4% | -23.6% | 0.18 | 0.06 | 1.1x | 22 | 16% |
| MACD fast=12, slow=19, signal=13 |
1.1% | -44.2% | 0.16 | 0.02 | 1.1x | 152 | 50% |
| ROC 모멘텀 n=117, threshold=0.14 |
1.1% | -49.9% | 0.14 | 0.02 | 1.1x | 63 | 21% |
| EMA 크로스오버 fast=27, slow=173 |
0.7% | -53.2% | 0.13 | 0.01 | 1.1x | 19 | 47% |
| Buy and hold | 5.5% | -58.4% | 0.33 | 0.09 | 1.6x | 1 | 100% |
Rules of the top strategy
Looks at both the direction and the strength of the trend; holds only in a strong uptrend.
- Buy — Buy when up-direction (+DI) beats down-direction (−DI) and trend strength (ADX, 35-day) is ≥ 28
- Sell — Sell when direction flips or the trend weakens (ADX < 28)