Trend-Following Backtester · Guide · backtest 한국어
equity · US
First Mid Bancshares, Inc. backtest
10 trend-following strategies were compared on the full daily history of First Mid Bancshares, Inc.. 3 beat buy-and-hold CAGR; EMA 크로스오버 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is EMA 크로스오버 (CAGR 7.8%, MDD -32.4%).
Results by strategy
3 of 10 beat buy and hold (CAGR 5.9%, drawdown -54.4%).
Sharpe leader (same as main): EMA 크로스오버 — CAGR 7.8%, MDD -32.4%, Sharpe 0.49, 58% exposure.
Return/drawdown alternative: EMA 크로스오버 — CAGR is 1.9%p higher than buy and hold, while drawdown improves by 22.0%p (CAGR 7.8%, MDD -32.4%, 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 |
|---|---|---|---|---|---|---|---|
| EMA 크로스오버 fast=137, slow=218 |
7.8% | -32.4% | 0.49 | 0.24 | 7.8x | 9 | 58% |
| Donchian 채널 돌파 entryN=161, exitN=66 |
6.5% | -47.7% | 0.44 | 0.14 | 5.7x | 25 | 46% |
| SMA 크로스오버 fast=38, slow=169 |
6.6% | -38.1% | 0.43 | 0.17 | 5.7x | 47 | 56% |
| ADX / DI 방향성 period=50, threshold=33 |
1.4% | -6.8% | 0.37 | 0.21 | 1.5x | 2 | 3% |
| ROC 모멘텀 n=149, threshold=0.03 |
1.2% | -71.6% | 0.16 | 0.02 | 1.4x | 233 | 47% |
| 볼린저 밴드 돌파 n=37, k=3.5 |
-0.7% | -42.5% | -0.04 | -0.02 | 0.8x | 50 | 11% |
| Parabolic SAR step=0.005, maxStep=0.16 |
-8.1% | -95.3% | -0.31 | -0.09 | 0.1x | 189 | 56% |
| MACD fast=37, slow=57, signal=19 |
-8.3% | -94.2% | -0.34 | -0.09 | 0.1x | 247 | 49% |
| Keltner 채널 돌파 emaPeriod=58, atrPeriod=16, mult=3.7 |
-7.6% | -93.4% | -0.47 | -0.08 | 0.1x | 155 | 33% |
| Supertrend period=21, mult=5 |
-14.3% | -99.3% | -0.66 | -0.14 | 0.0x | 251 | 54% |
| Buy and hold | 5.9% | -54.4% | 0.34 | 0.11 | 4.9x | 1 | 100% |
Rules of the top strategy
Uses two exponential averages (more weight on recent prices) and trades their crossover.
- Buy — Buy when the 137-day EMA crosses above the 218-day EMA
- Sell — Sell when the 137-day EMA falls below the 218-day EMA