Trend-Following Backtester · Guide · backtest 한국어

equity · US

Ameris Bancorp backtest

10 trend-following strategies were compared on the full daily history of Ameris Bancorp. 2 beat buy-and-hold CAGR; EMA 크로스오버 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is SMA 크로스오버 (CAGR 10.3%, MDD -41.6%).

Data 1994-05-19 ~ 2026-07-31daily bars 8,104 (32.2 years)Costs 0.5%Venue XNYSMonthly snapshot 2026-07-31

Results by strategy

2 of 10 beat buy and hold (CAGR 9.1%, drawdown -87.4%).

Sharpe leader (same as main): EMA 크로스오버 — CAGR 10.8%, MDD -44.0%, Sharpe 0.53, 68% exposure.

Return/drawdown alternative: SMA 크로스오버 — CAGR is 1.7%p higher than buy and hold, while drawdown improves by 43.4%p (CAGR 10.3%, MDD -41.6%, exposure 64%).

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
EMA 크로스오버
fast=78, slow=219
10.8%-44.0%0.530.2527.1x1768%
SMA 크로스오버
fast=52, slow=155
10.3%-41.6%0.510.2523.7x4964%
Donchian 채널 돌파
entryN=108, exitN=66
7.5%-49.5%0.430.1510.3x4155%
Supertrend
period=28, mult=4.9
4.7%-63.6%0.300.074.4x7760%
ROC 모멘텀
n=172, threshold=-0.05
3.7%-74.6%0.270.053.3x22373%
볼린저 밴드 돌파
n=77, k=3.1
0.7%-55.0%0.120.011.3x5219%
Parabolic SAR
step=0.005, maxStep=0.18
-1.1%-84.8%0.11-0.010.7x27056%
Keltner 채널 돌파
emaPeriod=57, atrPeriod=11, mult=2.8
-0.2%-63.7%0.07-0.000.9x12030%
MACD
fast=17, slow=48, signal=26
-3.1%-90.0%0.04-0.030.4x33049%
ADX / DI 방향성
period=28, threshold=13
-3.2%-82.0%-0.05-0.040.4x29636%
Buy and hold9.1%-87.4%0.420.1016.5x1100%
1x 10x 1995 1999 2003 2007 2011 2015 2019 2023 EMA 크로스오버Buy and hold
EMA 크로스오버: Solid strategy line versus dashed buy-and-hold line. Log scale.
0% -22% -44% -66% -87% 1995 1999 2003 2007 2011 2015 2019 2023 Buy and holdEMA 크로스오버
EMA 크로스오버 maximum drawdown -44.0% (2021-05-21 → 2024-04-16), recovered after 1,697 days.

Rules of the top strategy

Uses two exponential averages (more weight on recent prices) and trades their crossover.

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

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