Trend-Following Backtester · Guide · backtest 한국어
equity · US
Byline Bancorp, Inc. backtest
10 trend-following strategies were compared on the full daily history of Byline Bancorp, Inc.. 2 beat buy-and-hold CAGR; ROC 모멘텀 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is ROC 모멘텀 (CAGR 10.3%, MDD -29.8%).
Results by strategy
2 of 10 beat buy and hold (CAGR 7.6%, drawdown -64.9%).
Sharpe leader (same as main): ROC 모멘텀 — CAGR 10.3%, MDD -29.8%, Sharpe 0.60, 39% exposure.
CAGR reference leader: Donchian 채널 돌파 — CAGR 10.5%, MDD -44.9%, exposure 88%.
Return/drawdown alternative: ROC 모멘텀 — CAGR is 2.7%p higher than buy and hold, while drawdown improves by 35.1%p (CAGR 10.3%, MDD -29.8%, exposure 39%).
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 |
|---|---|---|---|---|---|---|---|
| ROC 모멘텀 n=154, threshold=0.07 |
10.3% | -29.8% | 0.60 | 0.35 | 2.4x | 47 | 39% |
| Donchian 채널 돌파 entryN=14, exitN=133 |
10.5% | -44.9% | 0.48 | 0.23 | 2.5x | 15 | 88% |
| Supertrend period=11, mult=4.8 |
5.8% | -46.7% | 0.34 | 0.12 | 1.7x | 25 | 68% |
| MACD fast=14, slow=46, signal=17 |
5.3% | -37.8% | 0.33 | 0.14 | 1.6x | 109 | 45% |
| EMA 크로스오버 fast=23, slow=233 |
4.2% | -40.1% | 0.31 | 0.10 | 1.5x | 13 | 48% |
| SMA 크로스오버 fast=10, slow=155 |
4.3% | -41.8% | 0.30 | 0.10 | 1.5x | 35 | 53% |
| 볼린저 밴드 돌파 n=48, k=3.1 |
0.2% | -23.7% | 0.08 | 0.01 | 1.0x | 19 | 18% |
| Parabolic SAR step=0.015, maxStep=0.18 |
-1.3% | -53.0% | 0.07 | -0.02 | 0.9x | 161 | 53% |
| Keltner 채널 돌파 emaPeriod=43, atrPeriod=23, mult=1.4 |
-1.5% | -43.9% | 0.02 | -0.03 | 0.9x | 75 | 39% |
| ADX / DI 방향성 period=31, threshold=8 |
-3.8% | -55.3% | -0.06 | -0.07 | 0.7x | 131 | 54% |
| Buy and hold | 7.6% | -64.9% | 0.39 | 0.12 | 1.9x | 1 | 100% |
Rules of the top strategy
Rides the trend when recent return (momentum) over a window is above a threshold.
- Buy — Buy when the last 154-day return is greater than 7%
- Sell — Sell when the 154-day return drops to 7% or below