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; ADX / DI 방향성 ranks first by Sharpe, matching the main backtester.
Results by strategy
0 of 10 beat buy and hold (CAGR 5.9%, drawdown -47.4%).
Sharpe leader (same as main): ADX / DI 방향성 — CAGR 1.7%, MDD -23.0%, Sharpe 0.26, 9% 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 |
|---|---|---|---|---|---|---|---|
| ADX / DI 방향성 period=43, threshold=22 |
1.7% | -23.0% | 0.26 | 0.08 | 1.6x | 14 | 9% |
| Donchian 채널 돌파 entryN=9, exitN=80 |
1.7% | -52.7% | 0.21 | 0.03 | 1.6x | 76 | 87% |
| Supertrend period=32, mult=3.4 |
0.5% | -63.7% | 0.14 | 0.01 | 1.1x | 124 | 52% |
| EMA 크로스오버 fast=49, slow=183 |
0.1% | -71.5% | 0.12 | 0.00 | 1.0x | 52 | 60% |
| MACD fast=25, slow=41, signal=38 |
0.1% | -51.8% | 0.12 | 0.00 | 1.0x | 200 | 49% |
| SMA 크로스오버 fast=35, slow=61 |
-0.1% | -53.5% | 0.11 | -0.00 | 1.0x | 128 | 56% |
| 볼린저 밴드 돌파 n=42, k=3.2 |
0.1% | -31.1% | 0.06 | 0.00 | 1.0x | 44 | 12% |
| Keltner 채널 돌파 emaPeriod=57, atrPeriod=13, mult=3.8 |
0.0% | -36.0% | 0.06 | 0.00 | 1.0x | 42 | 15% |
| ROC 모멘텀 n=10, threshold=0.12 |
-1.9% | -53.8% | -0.24 | -0.04 | 0.6x | 118 | 3% |
| Parabolic SAR step=0.005, maxStep=0.12 |
-8.9% | -94.1% | -0.28 | -0.10 | 0.1x | 244 | 52% |
| Buy and hold | 5.9% | -47.4% | 0.34 | 0.12 | 5.1x | 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, 43-day) is ≥ 22
- Sell — Sell when direction flips or the trend weakens (ADX < 22)