Trend-Following Backtester · Guide · backtest 한국어
equity · US
Old National Bancorp backtest
10 trend-following strategies were compared on the full daily history of Old National Bancorp. 1 beat buy-and-hold CAGR; ADX / DI 방향성 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is ADX / DI 방향성 (CAGR 1.7%, MDD -23.6%).
Results by strategy
1 of 10 beat buy and hold (CAGR 0.8%, drawdown -74.5%).
Sharpe leader (same as main): ADX / DI 방향성 — CAGR 1.7%, MDD -23.6%, Sharpe 0.29, 12% exposure.
Return/drawdown alternative: ADX / DI 방향성 — CAGR is 0.9%p higher than buy and hold, while drawdown improves by 50.8%p (CAGR 1.7%, MDD -23.6%, exposure 12%).
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=41, threshold=45 |
1.7% | -23.6% | 0.29 | 0.07 | 2.1x | 10 | 12% |
| ROC 모멘텀 Hold-like · Exposure 100% n=1, threshold=-0.12 |
0.6% | -75.9% | 0.17 | 0.01 | 1.3x | 13 | 100% |
| SMA 크로스오버 fast=100, slow=199 |
-0.8% | -77.7% | 0.08 | -0.01 | 0.7x | 61 | 53% |
| Supertrend period=14, mult=3.3 |
-2.3% | -87.0% | -0.02 | -0.03 | 0.4x | 191 | 55% |
| 볼린저 밴드 돌파 n=12, k=3.1 |
-0.2% | -21.9% | -0.05 | -0.01 | 0.9x | 24 | 1% |
| Keltner 채널 돌파 emaPeriod=6, atrPeriod=29, mult=4 |
-0.1% | -8.3% | -0.07 | -0.01 | 1.0x | 6 | 0% |
| Parabolic SAR step=0.005, maxStep=0.2 |
-3.6% | -91.9% | -0.08 | -0.04 | 0.2x | 308 | 53% |
| EMA 크로스오버 fast=59, slow=153 |
-4.0% | -91.6% | -0.08 | -0.04 | 0.2x | 73 | 52% |
| MACD fast=24, slow=43, signal=23 |
-4.0% | -90.1% | -0.10 | -0.04 | 0.2x | 409 | 51% |
| Donchian 채널 돌파 entryN=40, exitN=58 |
-5.6% | -95.1% | -0.13 | -0.06 | 0.1x | 143 | 62% |
| Buy and hold | 0.8% | -74.5% | 0.18 | 0.01 | 1.4x | 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, 41-day) is ≥ 45
- Sell — Sell when direction flips or the trend weakens (ADX < 45)