Trend-Following Backtester · Guide · backtest 한국어
equity · US
First Merchants Corporation backtest
10 trend-following strategies were compared on the full daily history of First Merchants Corporation. 0 beat buy-and-hold CAGR; ROC 모멘텀 ranks first by Sharpe, matching the main backtester. Its 100% market exposure makes it hold-like.
Results by strategy
0 of 10 beat buy and hold (CAGR 5.4%, drawdown -83.0%).
Sharpe leader (same as main): ROC 모멘텀 — CAGR 4.9%, MDD -85.0%, Sharpe 0.31, 100% exposure. With at least 95% exposure, it should be treated as hold-like, not strong evidence of timing skill.
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 |
|---|---|---|---|---|---|---|---|
| ROC 모멘텀 Hold-like · Exposure 100% n=1, threshold=-0.15 |
4.9% | -85.0% | 0.31 | 0.06 | 6.0x | 5 | 100% |
| Donchian 채널 돌파 entryN=90, exitN=100 |
3.6% | -65.4% | 0.27 | 0.06 | 3.8x | 45 | 62% |
| SMA 크로스오버 fast=57, slow=116 |
3.6% | -64.5% | 0.27 | 0.06 | 3.8x | 93 | 60% |
| EMA 크로스오버 fast=76, slow=115 |
0.6% | -76.0% | 0.15 | 0.01 | 1.3x | 63 | 63% |
| 볼린저 밴드 돌파 n=55, k=3.5 |
0.2% | -53.8% | 0.06 | 0.00 | 1.1x | 29 | 8% |
| ADX / DI 방향성 period=31, threshold=31 |
0.1% | -9.2% | 0.05 | 0.01 | 1.0x | 4 | 1% |
| Supertrend period=23, mult=5 |
-2.1% | -77.6% | 0.04 | -0.03 | 0.5x | 95 | 58% |
| Keltner 채널 돌파 emaPeriod=73, atrPeriod=30, mult=3.7 |
-0.8% | -47.1% | 0.02 | -0.02 | 0.7x | 75 | 22% |
| Parabolic SAR step=0.005, maxStep=0.32 |
-7.5% | -96.8% | -0.18 | -0.08 | 0.1x | 300 | 53% |
| MACD fast=21, slow=41, signal=16 |
-10.2% | -99.1% | -0.28 | -0.10 | 0.0x | 488 | 49% |
| Buy and hold | 5.4% | -83.0% | 0.33 | 0.07 | 7.1x | 1 | 100% |
Rules of the top strategy
Rides the trend when recent return (momentum) over a window is above a threshold.
- Buy — Buy when the last 1-day return is greater than -15%
- Sell — Sell when the 1-day return drops to -15% or below