Trend-Following Backtester · Guide · backtest 한국어
equity · US
First Interstate BancSystem, Inc. backtest
10 trend-following strategies were compared on the full daily history of First Interstate BancSystem, Inc.. 0 beat buy-and-hold CAGR; 볼린저 밴드 돌파 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is SMA 크로스오버 (CAGR 5.0%, MDD -41.7%).
Results by strategy
0 of 10 beat buy and hold (CAGR 5.3%, drawdown -57.3%).
Sharpe leader (same as main): 볼린저 밴드 돌파 — CAGR 1.2%, MDD -6.1%, Sharpe 0.41, 1% exposure.
CAGR reference leader: Donchian 채널 돌파 — CAGR 5.1%, MDD -45.6%, exposure 74%.
Return/drawdown alternative: SMA 크로스오버 — CAGR is 4.1%p lower than buy and hold, while drawdown improves by 51.2%p (CAGR 5.0%, MDD -41.7%, exposure 58%).
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 |
|---|---|---|---|---|---|---|---|
| 볼린저 밴드 돌파 n=29, k=3.5 |
1.2% | -6.1% | 0.41 | 0.19 | 1.2x | 2 | 1% |
| Keltner 채널 돌파 emaPeriod=14, atrPeriod=15, mult=4 |
0.9% | -6.1% | 0.37 | 0.15 | 1.2x | 2 | 1% |
| SMA 크로스오버 fast=50, slow=108 |
5.0% | -41.7% | 0.34 | 0.12 | 2.2x | 39 | 58% |
| Donchian 채널 돌파 entryN=22, exitN=61 |
5.1% | -45.6% | 0.32 | 0.11 | 2.3x | 37 | 74% |
| EMA 크로스오버 fast=49, slow=94 |
2.7% | -45.6% | 0.24 | 0.06 | 1.6x | 39 | 59% |
| ADX / DI 방향성 period=36, threshold=23 |
0.3% | -10.0% | 0.09 | 0.03 | 1.0x | 4 | 2% |
| Supertrend period=38, mult=4.8 |
-0.6% | -44.7% | 0.08 | -0.01 | 0.9x | 49 | 57% |
| MACD fast=19, slow=70, signal=11 |
-1.2% | -57.9% | 0.04 | -0.02 | 0.8x | 194 | 51% |
| ROC 모멘텀 n=98, threshold=-0.02 |
-1.4% | -56.2% | 0.04 | -0.02 | 0.8x | 147 | 63% |
| Parabolic SAR step=0.02, maxStep=0.06 |
-6.8% | -75.4% | -0.24 | -0.09 | 0.3x | 278 | 55% |
| Buy and hold | 5.3% | -57.3% | 0.32 | 0.09 | 2.3x | 1 | 100% |
Rules of the top strategy
Breaking above the upper band (average plus a multiple of volatility) signals a strong move up.
- Buy — Buy when the close breaks above the upper band of the 29-day average (3.5× volatility)
- Sell — Sell when the close falls back to the 29-day middle average