Trend-Following Backtester · Guide · backtest 한국어
equity · US
Bank First Corporation backtest
10 trend-following strategies were compared on the full daily history of Bank First Corporation. 0 beat buy-and-hold CAGR; SMA 크로스오버 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is SMA 크로스오버 (CAGR 8.4%, MDD -39.7%).
Results by strategy
0 of 10 beat buy and hold (CAGR 10.5%, drawdown -73.8%).
Sharpe leader (same as main): SMA 크로스오버 — CAGR 8.4%, MDD -39.7%, Sharpe 0.48, 70% exposure.
Return/drawdown alternative: SMA 크로스오버 — CAGR is 2.1%p lower than buy and hold, while drawdown improves by 34.1%p (CAGR 8.4%, MDD -39.7%, exposure 70%).
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 |
|---|---|---|---|---|---|---|---|
| SMA 크로스오버 fast=35, slow=181 |
8.4% | -39.7% | 0.48 | 0.21 | 6.3x | 25 | 70% |
| EMA 크로스오버 fast=58, slow=110 |
7.1% | -44.5% | 0.42 | 0.16 | 4.8x | 39 | 72% |
| Donchian 채널 돌파 entryN=81, exitN=79 |
6.9% | -46.5% | 0.42 | 0.15 | 4.6x | 25 | 67% |
| ROC 모멘텀 n=128, threshold=-0.03 |
2.9% | -62.2% | 0.24 | 0.05 | 1.9x | 163 | 77% |
| Parabolic SAR step=0.005, maxStep=0.08 |
0.3% | -49.3% | 0.13 | 0.01 | 1.1x | 138 | 58% |
| MACD fast=52, slow=59, signal=29 |
-2.4% | -64.5% | 0.00 | -0.04 | 0.6x | 151 | 49% |
| ADX / DI 방향성 period=33, threshold=28 |
-0.5% | -36.1% | -0.00 | -0.01 | 0.9x | 28 | 5% |
| 볼린저 밴드 돌파 n=38, k=3.3 |
-1.1% | -56.2% | -0.01 | -0.02 | 0.8x | 56 | 16% |
| Keltner 채널 돌파 emaPeriod=73, atrPeriod=22, mult=3.9 |
-5.0% | -71.9% | -0.21 | -0.07 | 0.3x | 96 | 37% |
| Supertrend period=5, mult=5 |
-7.8% | -93.7% | -0.24 | -0.08 | 0.2x | 213 | 60% |
| Buy and hold | 10.5% | -73.8% | 0.47 | 0.14 | 9.8x | 1 | 100% |
Rules of the top strategy
When the short average rises above the long average, it reads that as an uptrend starting.
- Buy — Buy when the 35-day average price crosses above the 181-day average
- Sell — Sell (to cash) when the 35-day average falls below the 181-day average