Trend-Following Backtester · Guide · backtest 한국어

equity · US

Amerant Bancorp Inc. backtest

10 trend-following strategies were compared on the full daily history of Amerant Bancorp Inc.. 10 beat buy-and-hold CAGR; Donchian 채널 돌파 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is Keltner 채널 돌파 (CAGR 7.8%, MDD -33.0%).

Data 2018-10-18 ~ 2026-07-31daily bars 1,955 (7.8 years)Costs 0.5%Venue XNYSMonthly snapshot 2026-07-31

Results by strategy

10 of 10 beat buy and hold (CAGR -0.2%, drawdown -69.1%).

Sharpe leader (same as main): Donchian 채널 돌파 — CAGR 14.3%, MDD -52.3%, Sharpe 0.55, 76% exposure.

Return/drawdown alternative: Keltner 채널 돌파 — CAGR is 14.6%p higher than buy and hold, while drawdown improves by 16.9%p (CAGR 7.8%, MDD -33.0%, exposure 38%).

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
Donchian 채널 돌파
entryN=11, exitN=31
14.3%-52.3%0.550.272.8x3376%
ROC 모멘텀
n=154, threshold=0.07
10.6%-40.5%0.530.262.2x5145%
SMA 크로스오버
fast=4, slow=181
9.8%-54.3%0.490.182.1x2349%
Keltner 채널 돌파
emaPeriod=64, atrPeriod=26, mult=1.8
7.8%-33.0%0.430.241.8x3138%
MACD
fast=17, slow=37, signal=6
8.9%-50.9%0.420.171.9x12151%
ADX / DI 방향성
period=32, threshold=12
7.1%-50.2%0.390.141.7x7340%
볼린저 밴드 돌파
n=57, k=1
5.7%-44.9%0.340.131.5x4544%
EMA 크로스오버
fast=14, slow=75
2.7%-64.5%0.240.041.2x3151%
Supertrend
period=27, mult=5
1.9%-63.0%0.220.031.2x2362%
Parabolic SAR
step=0.005, maxStep=0.38
1.7%-47.5%0.210.041.1x6550%
Buy and hold-0.2%-69.1%0.24-0.001.0x1100%
1x 2019 2020 2021 2022 2023 2024 2025 2026 Donchian 채널 돌파Buy and hold
Donchian 채널 돌파: Solid strategy line versus dashed buy-and-hold line. Log scale.
0% -17% -35% -52% -69% 2019 2020 2021 2022 2023 2024 2025 2026 Buy and holdDonchian 채널 돌파
Donchian 채널 돌파 maximum drawdown -52.3% (2022-02-01 → 2025-11-17), prior peak not yet recovered.

Rules of the top strategy

A new high means a trend starting; a new low means it’s over (turtle-trading style).

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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