Trend-Following Backtester · Guide · backtest 한국어
equity · US
Evertec, Inc. backtest
10 trend-following strategies were compared on the full daily history of Evertec, Inc.. 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 3.2%, MDD -16.2%).
Results by strategy
1 of 10 beat buy and hold (CAGR 3.0%, drawdown -56.7%).
Sharpe leader (same as main): 볼린저 밴드 돌파 — CAGR 3.2%, MDD -16.2%, Sharpe 0.43, 8% exposure.
Return/drawdown alternative: 볼린저 밴드 돌파 — CAGR is 0.2%p higher than buy and hold, while drawdown improves by 40.4%p (CAGR 3.2%, MDD -16.2%, exposure 8%).
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 |
|---|---|---|---|---|---|---|---|
| 볼린저 밴드 돌파 n=53, k=3.5 |
3.2% | -16.2% | 0.43 | 0.19 | 1.5x | 6 | 8% |
| Keltner 채널 돌파 emaPeriod=17, atrPeriod=15, mult=4 |
0.7% | -2.4% | 0.36 | 0.28 | 1.1x | 2 | 1% |
| Donchian 채널 돌파 entryN=14, exitN=25 |
0.5% | -64.2% | 0.14 | 0.01 | 1.1x | 83 | 62% |
| ROC 모멘텀 n=174, threshold=0.05 |
0.7% | -41.6% | 0.13 | 0.02 | 1.1x | 75 | 39% |
| ADX / DI 방향성 period=27, threshold=39 |
0.1% | -2.4% | 0.09 | 0.05 | 1.0x | 2 | 1% |
| Parabolic SAR step=0.005, maxStep=0.34 |
-0.3% | -52.8% | 0.09 | -0.01 | 1.0x | 111 | 52% |
| Supertrend period=8, mult=2.5 |
-0.6% | -48.1% | 0.06 | -0.01 | 0.9x | 109 | 52% |
| SMA 크로스오버 fast=57, slow=172 |
-1.5% | -49.7% | 0.04 | -0.03 | 0.8x | 22 | 52% |
| EMA 크로스오버 fast=5, slow=123 |
-1.2% | -60.4% | 0.04 | -0.02 | 0.8x | 65 | 50% |
| MACD fast=15, slow=22, signal=15 |
-2.6% | -63.0% | -0.02 | -0.04 | 0.7x | 197 | 49% |
| Buy and hold | 3.0% | -56.7% | 0.25 | 0.05 | 1.5x | 1 | 100% |
Rules of the top strategy
Breaking above the upper band (average plus a multiple of volatility) signals a strong move up.
- Buy — Buy when the close breaks above the upper band of the 53-day average (3.5× volatility)
- Sell — Sell when the close falls back to the 53-day middle average