Trend-Following Backtester · Guide · backtest 한국어
equity · US
Southside Bancshares, Inc. backtest
10 trend-following strategies were compared on the full daily history of Southside Bancshares, Inc.. 0 beat buy-and-hold CAGR; Donchian 채널 돌파 ranks first by Sharpe, matching the main backtester.
Results by strategy
0 of 10 beat buy and hold (CAGR 6.2%, drawdown -47.4%).
Sharpe leader (same as main): Donchian 채널 돌파 — CAGR 2.0%, MDD -52.2%, Sharpe 0.22, 90% exposure.
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 |
|---|---|---|---|---|---|---|---|
| Donchian 채널 돌파 entryN=8, exitN=101 |
2.0% | -52.2% | 0.22 | 0.04 | 1.8x | 67 | 90% |
| ADX / DI 방향성 period=54, threshold=22 |
1.1% | -24.4% | 0.19 | 0.05 | 1.4x | 10 | 8% |
| EMA 크로스오버 fast=56, slow=202 |
0.4% | -69.7% | 0.13 | 0.01 | 1.1x | 51 | 60% |
| Supertrend period=29, mult=3.3 |
0.1% | -63.2% | 0.12 | 0.00 | 1.0x | 130 | 52% |
| SMA 크로스오버 fast=24, slow=95 |
-0.2% | -62.9% | 0.11 | -0.00 | 0.9x | 97 | 57% |
| MACD fast=33, slow=39, signal=31 |
-0.3% | -52.4% | 0.10 | -0.01 | 0.9x | 202 | 49% |
| Keltner 채널 돌파 emaPeriod=66, atrPeriod=12, mult=4 |
-0.2% | -36.7% | 0.04 | -0.01 | 0.9x | 40 | 17% |
| 볼린저 밴드 돌파 n=25, k=3.5 |
-0.1% | -27.2% | 0.01 | -0.00 | 1.0x | 24 | 4% |
| Parabolic SAR step=0.005, maxStep=0.22 |
-9.0% | -94.1% | -0.28 | -0.10 | 0.1x | 244 | 53% |
| ROC 모멘텀 n=50, threshold=-0.04 |
-12.1% | -97.4% | -0.35 | -0.12 | 0.0x | 485 | 71% |
| Buy and hold | 6.2% | -47.4% | 0.35 | 0.13 | 5.5x | 1 | 100% |
Rules of the top strategy
A new high means a trend starting; a new low means it’s over (turtle-trading style).
- Buy — Buy on a breakout above the highest high of the last 8 days
- Sell — Sell when price breaks below the lowest low of the last 101 days