Trend-Following Backtester · Guide · backtest 한국어
equity · US
Commerce Bancshares, Inc. backtest
10 trend-following strategies were compared on the full daily history of Commerce 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 10.2%, drawdown -45.4%).
Sharpe leader (same as main): ADX / DI 방향성 — CAGR 2.6%, MDD -16.8%, Sharpe 0.52, 12% exposure.
CAGR reference leader: EMA 크로스오버 — CAGR 5.1%, MDD -37.7%, exposure 67%.
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=37, threshold=39 |
2.6% | -16.8% | 0.52 | 0.15 | 3.3x | 30 | 12% |
| 볼린저 밴드 돌파 n=36, k=3.1 |
2.8% | -36.2% | 0.41 | 0.08 | 3.5x | 83 | 15% |
| SMA 크로스오버 fast=47, slow=205 |
5.1% | -45.1% | 0.37 | 0.11 | 9.9x | 75 | 63% |
| EMA 크로스오버 fast=57, slow=161 |
5.1% | -37.7% | 0.37 | 0.13 | 9.9x | 73 | 67% |
| Donchian 채널 돌파 entryN=74, exitN=69 |
4.2% | -55.2% | 0.34 | 0.08 | 6.7x | 85 | 57% |
| Keltner 채널 돌파 emaPeriod=45, atrPeriod=21, mult=4 |
2.4% | -37.8% | 0.33 | 0.06 | 3.0x | 79 | 19% |
| Supertrend period=12, mult=3.2 |
3.9% | -80.6% | 0.31 | 0.05 | 5.9x | 237 | 59% |
| Parabolic SAR step=0.005, maxStep=0.36 |
3.2% | -85.7% | 0.28 | 0.04 | 4.4x | 379 | 56% |
| MACD fast=28, slow=44, signal=25 |
0.9% | -88.9% | 0.13 | 0.01 | 1.5x | 401 | 50% |
| ROC 모멘텀 n=131, threshold=0.06 |
-0.6% | -89.4% | 0.02 | -0.01 | 0.7x | 465 | 45% |
| Buy and hold | 10.2% | -45.4% | 0.53 | 0.22 | 91.3x | 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, 37-day) is ≥ 39
- Sell — Sell when direction flips or the trend weakens (ADX < 39)