Trend-Following Backtester · Guide · backtest 한국어
equity · US
Associated Banc-Corp backtest
10 trend-following strategies were compared on the full daily history of Associated Banc-Corp. 0 beat buy-and-hold CAGR; ADX / DI 방향성 ranks first by Sharpe, matching the main backtester.
Results by strategy
0 of 10 beat buy and hold (CAGR 8.6%, drawdown -74.7%).
Sharpe leader (same as main): ADX / DI 방향성 — CAGR 3.4%, MDD -27.3%, Sharpe 0.45, 15% exposure.
CAGR reference leader: EMA 크로스오버 — CAGR 5.3%, MDD -47.1%, exposure 66%.
No strategy retained at least 75% of buy-and-hold CAGR while reducing drawdown by both 20% relatively and 5 percentage points absolutely.
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=35 |
3.4% | -27.3% | 0.45 | 0.12 | 4.7x | 20 | 15% |
| 볼린저 밴드 돌파 n=46, k=3 |
3.7% | -39.8% | 0.35 | 0.09 | 5.3x | 69 | 16% |
| EMA 크로스오버 fast=56, slow=135 |
5.3% | -47.1% | 0.34 | 0.11 | 11.1x | 67 | 66% |
| SMA 크로스오버 fast=16, slow=260 |
5.2% | -48.7% | 0.34 | 0.11 | 10.6x | 83 | 65% |
| ROC 모멘텀 n=55, threshold=-0.14 |
3.4% | -86.8% | 0.26 | 0.04 | 4.7x | 217 | 93% |
| Supertrend period=12, mult=3.2 |
3.4% | -68.7% | 0.26 | 0.05 | 4.6x | 215 | 58% |
| Donchian 채널 돌파 entryN=118, exitN=71 |
2.9% | -36.2% | 0.25 | 0.08 | 3.8x | 67 | 47% |
| Parabolic SAR step=0.005, maxStep=0.36 |
2.7% | -83.9% | 0.23 | 0.03 | 3.4x | 349 | 57% |
| Keltner 채널 돌파 emaPeriod=57, atrPeriod=23, mult=4 |
1.4% | -41.4% | 0.17 | 0.03 | 1.9x | 67 | 16% |
| MACD fast=16, slow=52, signal=24 |
-3.5% | -93.8% | -0.04 | -0.04 | 0.2x | 512 | 49% |
| Buy and hold | 8.6% | -74.7% | 0.41 | 0.12 | 46.4x | 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 ≥ 35
- Sell — Sell when direction flips or the trend weakens (ADX < 35)