Trend-Following Backtester · Guide · backtest 한국어
equity · US
Banner Corporation backtest
10 trend-following strategies were compared on the full daily history of Banner Corporation. 8 beat buy-and-hold CAGR; Donchian 채널 돌파 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is Keltner 채널 돌파 (CAGR 1.0%, MDD -25.3%).
Results by strategy
8 of 10 beat buy and hold (CAGR -0.1%, drawdown -96.5%).
Sharpe leader (same as main): Donchian 채널 돌파 — CAGR 3.4%, MDD -47.3%, Sharpe 0.29, 29% exposure.
CAGR reference leader: SMA 크로스오버 — CAGR 3.9%, MDD -77.8%, exposure 55%.
Return/drawdown alternative: Keltner 채널 돌파 — CAGR is 3.5%p higher than buy and hold, while drawdown improves by 49.3%p (CAGR 1.0%, MDD -25.3%, exposure 1%).
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=81, exitN=15 |
3.4% | -47.3% | 0.29 | 0.07 | 2.8x | 97 | 29% |
| SMA 크로스오버 fast=56, slow=194 |
3.9% | -77.8% | 0.28 | 0.05 | 3.2x | 45 | 55% |
| Supertrend period=9, mult=4.6 |
2.1% | -58.8% | 0.21 | 0.04 | 1.9x | 89 | 52% |
| EMA 크로스오버 fast=48, slow=77 |
2.0% | -79.7% | 0.20 | 0.02 | 1.8x | 79 | 55% |
| ROC 모멘텀 n=10, threshold=-0.1 |
0.3% | -92.8% | 0.19 | 0.00 | 1.1x | 231 | 94% |
| Keltner 채널 돌파 emaPeriod=13, atrPeriod=14, mult=3.4 |
1.0% | -25.3% | 0.19 | 0.04 | 1.4x | 12 | 1% |
| ADX / DI 방향성 period=17, threshold=38 |
0.9% | -41.5% | 0.15 | 0.02 | 1.3x | 36 | 5% |
| Parabolic SAR step=0.005, maxStep=0.2 |
-0.6% | -71.5% | 0.13 | -0.01 | 0.8x | 267 | 53% |
| 볼린저 밴드 돌파 n=55, k=1.8 |
-0.1% | -58.5% | 0.11 | -0.00 | 1.0x | 147 | 36% |
| MACD fast=11, slow=27, signal=9 |
-6.5% | -92.5% | -0.06 | -0.07 | 0.1x | 646 | 50% |
| Buy and hold | -0.1% | -96.5% | 0.22 | -0.00 | 1.0x | 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 81 days
- Sell — Sell when price breaks below the lowest low of the last 15 days