Trend-Following Backtester · Guide · backtest 한국어
equity · US
Northwest Bancshares, Inc. backtest
10 trend-following strategies were compared on the full daily history of Northwest Bancshares, Inc.. 0 beat buy-and-hold CAGR; ADX / DI 방향성 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is Supertrend (CAGR 5.9%, MDD -48.9%).
Results by strategy
0 of 10 beat buy and hold (CAGR 6.7%, drawdown -66.0%).
Sharpe leader (same as main): ADX / DI 방향성 — CAGR 2.7%, MDD -15.4%, Sharpe 0.38, 4% exposure.
CAGR reference leader: Supertrend — CAGR 5.9%, MDD -48.9%, exposure 56%.
Return/drawdown alternative: Supertrend — CAGR is 4.0%p lower than buy and hold, while drawdown improves by 50.5%p (CAGR 5.9%, MDD -48.9%, exposure 56%).
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=20, threshold=43 |
2.7% | -15.4% | 0.38 | 0.17 | 2.3x | 18 | 4% |
| Supertrend period=8, mult=5 |
5.9% | -48.9% | 0.35 | 0.12 | 6.1x | 71 | 56% |
| SMA 크로스오버 fast=47, slow=181 |
4.3% | -66.5% | 0.29 | 0.06 | 3.8x | 55 | 59% |
| Donchian 채널 돌파 entryN=30, exitN=72 |
4.2% | -60.8% | 0.29 | 0.07 | 3.7x | 71 | 73% |
| EMA 크로스오버 fast=70, slow=80 |
4.1% | -65.6% | 0.28 | 0.06 | 3.6x | 65 | 60% |
| ROC 모멘텀 n=166, threshold=-0.13 |
2.8% | -81.6% | 0.24 | 0.03 | 2.4x | 137 | 84% |
| Keltner 채널 돌파 emaPeriod=11, atrPeriod=29, mult=2.9 |
0.2% | -39.6% | 0.06 | 0.01 | 1.1x | 22 | 2% |
| Parabolic SAR step=0.005, maxStep=0.02 |
-1.4% | -87.6% | 0.06 | -0.02 | 0.6x | 177 | 56% |
| MACD fast=35, slow=47, signal=39 |
-3.0% | -94.4% | -0.00 | -0.03 | 0.4x | 223 | 52% |
| 볼린저 밴드 돌파 n=36, k=3.4 |
-0.4% | -45.2% | -0.00 | -0.01 | 0.9x | 24 | 4% |
| Buy and hold | 6.7% | -66.0% | 0.36 | 0.10 | 7.8x | 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, 20-day) is ≥ 43
- Sell — Sell when direction flips or the trend weakens (ADX < 43)