Trend-Following Backtester · Guide · backtest 한국어
equity · US
Merchants Bancorp backtest
10 trend-following strategies were compared on the full daily history of Merchants Bancorp. 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 19.1%, drawdown -54.9%).
Sharpe leader (same as main): ADX / DI 방향성 — CAGR 9.0%, MDD -22.6%, Sharpe 0.64, 20% exposure.
CAGR reference leader: Supertrend — CAGR 13.7%, MDD -43.7%, exposure 51%.
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=34, threshold=21 |
9.0% | -22.6% | 0.64 | 0.40 | 2.1x | 16 | 20% |
| Supertrend period=10, mult=4.4 |
13.7% | -43.7% | 0.62 | 0.31 | 3.1x | 29 | 51% |
| 볼린저 밴드 돌파 n=49, k=3 |
9.0% | -25.7% | 0.58 | 0.35 | 2.1x | 17 | 22% |
| EMA 크로스오버 fast=16, slow=111 |
12.7% | -42.0% | 0.57 | 0.30 | 2.9x | 23 | 56% |
| Donchian 채널 돌파 entryN=30, exitN=16 |
10.3% | -42.4% | 0.53 | 0.24 | 2.4x | 41 | 42% |
| SMA 크로스오버 fast=8, slow=68 |
10.9% | -56.7% | 0.52 | 0.19 | 2.5x | 49 | 53% |
| Keltner 채널 돌파 emaPeriod=51, atrPeriod=10, mult=1.8 |
7.0% | -49.5% | 0.41 | 0.14 | 1.8x | 49 | 41% |
| ROC 모멘텀 n=83, threshold=0.09 |
6.1% | -55.0% | 0.37 | 0.11 | 1.7x | 99 | 42% |
| MACD fast=16, slow=25, signal=15 |
5.3% | -51.3% | 0.33 | 0.10 | 1.6x | 128 | 48% |
| Parabolic SAR step=0.005, maxStep=0.3 |
3.7% | -46.6% | 0.27 | 0.08 | 1.4x | 75 | 53% |
| Buy and hold | 19.1% | -54.9% | 0.64 | 0.35 | 4.7x | 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, 34-day) is ≥ 21
- Sell — Sell when direction flips or the trend weakens (ADX < 21)