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; Supertrend ranks first by Sharpe, matching the main backtester.
Results by strategy
0 of 10 beat buy and hold (CAGR 19.9%, drawdown -54.9%).
Sharpe leader (same as main): Supertrend — CAGR 14.5%, MDD -43.7%, Sharpe 0.64, 51% exposure.
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 |
|---|---|---|---|---|---|---|---|
| Supertrend period=10, mult=4.4 |
14.5% | -43.7% | 0.64 | 0.33 | 3.3x | 29 | 51% |
| ADX / DI 방향성 period=34, threshold=21 |
9.1% | -22.6% | 0.64 | 0.40 | 2.1x | 16 | 20% |
| 볼린저 밴드 돌파 n=49, k=3 |
9.7% | -25.7% | 0.61 | 0.38 | 2.2x | 17 | 22% |
| EMA 크로스오버 fast=16, slow=111 |
13.5% | -42.0% | 0.60 | 0.32 | 3.0x | 23 | 55% |
| Donchian 채널 돌파 entryN=30, exitN=16 |
11.0% | -42.4% | 0.56 | 0.26 | 2.5x | 41 | 42% |
| SMA 크로스오버 fast=8, slow=68 |
11.6% | -56.7% | 0.54 | 0.21 | 2.6x | 49 | 53% |
| Keltner 채널 돌파 emaPeriod=51, atrPeriod=10, mult=1.8 |
7.7% | -49.5% | 0.44 | 0.16 | 1.9x | 49 | 40% |
| ROC 모멘텀 n=83, threshold=0.09 |
7.1% | -55.0% | 0.41 | 0.13 | 1.8x | 95 | 42% |
| MACD fast=16, slow=25, signal=15 |
5.7% | -51.3% | 0.35 | 0.11 | 1.6x | 127 | 47% |
| Parabolic SAR step=0.005, maxStep=0.3 |
4.3% | -46.6% | 0.29 | 0.09 | 1.4x | 75 | 52% |
| Buy and hold | 19.9% | -54.9% | 0.66 | 0.36 | 4.9x | 1 | 100% |
Rules of the top strategy
Trades the direction of a volatility-based trend line that trails below/above price.
- Buy — Buy when price moves above the trend line (flips up) — 10-day volatility, 4.4× band
- Sell — Sell when price drops below the trend line (flips down)