Trend-Following Backtester · Guide · backtest 한국어

equity · US

Simmons First National Corporation backtest

10 trend-following strategies were compared on the full daily history of Simmons First National Corporation. 1 beat buy-and-hold CAGR; 볼린저 밴드 돌파 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is 볼린저 밴드 돌파 (CAGR 5.1%, MDD -42.4%).

Data 1985-03-14 ~ 2026-07-31daily bars 10,425 (41.4 years)Costs 0.5%Venue XNASMonthly snapshot 2026-07-31

Results by strategy

1 of 10 beat buy and hold (CAGR 5.5%, drawdown -66.0%).

Sharpe leader (same as main): 볼린저 밴드 돌파 — CAGR 5.1%, MDD -42.4%, Sharpe 0.48, 21% exposure.

CAGR reference leader: SMA 크로스오버 — CAGR 6.0%, MDD -54.5%, exposure 60%.

Return/drawdown alternative: 볼린저 밴드 돌파 — CAGR is 0.4%p lower than buy and hold, while drawdown improves by 23.6%p (CAGR 5.1%, MDD -42.4%, exposure 21%).

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 · parametersCAGRMDDSharpeCalmarTotalTradesExposure
볼린저 밴드 돌파
n=56, k=3.1
5.1%-42.4%0.480.127.8x4821%
ADX / DI 방향성
period=24, threshold=26
3.6%-34.6%0.420.104.4x4025%
SMA 크로스오버
fast=27, slow=157
6.0%-54.5%0.360.1111.0x7960%
EMA 크로스오버
fast=40, slow=139
5.1%-65.7%0.330.087.9x6161%
ROC 모멘텀
Hold-like · Exposure 100%
n=5, threshold=-0.13
4.0%-66.1%0.290.065.0x33100%
Keltner 채널 돌파
emaPeriod=33, atrPeriod=24, mult=4
2.1%-32.5%0.270.062.3x389%
Donchian 채널 돌파
entryN=72, exitN=65
2.2%-78.1%0.210.032.4x7348%
Supertrend
period=9, mult=4.3
-0.4%-78.1%0.11-0.010.8x12759%
MACD
fast=31, slow=56, signal=19
-5.3%-97.3%-0.13-0.050.1x36549%
Parabolic SAR
step=0.005, maxStep=0.3
-5.9%-98.4%-0.13-0.060.1x32657%
Buy and hold5.5%-66.0%0.330.089.1x1100%
1x 10x 1986 1992 1998 2004 2010 2016 2022 SMA 크로스오버볼린저 밴드 돌파Buy and hold
볼린저 밴드 돌파 (Sharpe leader), SMA 크로스오버 (CAGR reference), Buy and hold.
0% -16% -33% -49% -66% 1986 1992 1998 2004 2010 2016 2022 Buy and holdSMA 크로스오버볼린저 밴드 돌파
볼린저 밴드 돌파 maximum drawdown -42.4% (2002-06-28 → 2015-07-30), recovered after 6,823 days.

Rules of the top strategy

Breaking above the upper band (average plus a multiple of volatility) signals a strong move up.

Method and caveats

Past performance does not guarantee future returns. Parameters were carried forward from the latest full optimization and replayed on this monthly dataset. 0.5% trading costs are included; taxes, slippage and rejected orders are not.
Re-optimize the same period and setupAll asset reports

Read next