Trend-Following Backtester · Guide · backtest 한국어
equity · US
ServisFirst Bancshares, Inc. backtest
10 trend-following strategies were compared on the full daily history of ServisFirst Bancshares, Inc.. 0 beat buy-and-hold CAGR; Donchian 채널 돌파 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is Donchian 채널 돌파 (CAGR 13.7%, MDD -37.2%).
Results by strategy
0 of 10 beat buy and hold (CAGR 15.8%, drawdown -57.8%).
Sharpe leader (same as main): Donchian 채널 돌파 — CAGR 13.7%, MDD -37.2%, Sharpe 0.63, 67% exposure.
Return/drawdown alternative: Donchian 채널 돌파 — CAGR is 2.1%p lower than buy and hold, while drawdown improves by 20.6%p (CAGR 13.7%, MDD -37.2%, exposure 67%).
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 |
|---|---|---|---|---|---|---|---|
| Donchian 채널 돌파 entryN=43, exitN=59 |
13.7% | -37.2% | 0.63 | 0.37 | 4.8x | 21 | 67% |
| ROC 모멘텀 n=149, threshold=0.11 |
10.5% | -43.3% | 0.59 | 0.24 | 3.4x | 78 | 45% |
| Supertrend period=11, mult=3.8 |
10.4% | -45.8% | 0.53 | 0.23 | 3.4x | 47 | 60% |
| SMA 크로스오버 fast=38, slow=173 |
8.6% | -53.7% | 0.45 | 0.16 | 2.8x | 23 | 62% |
| Keltner 채널 돌파 emaPeriod=25, atrPeriod=10, mult=3.4 |
3.6% | -23.8% | 0.42 | 0.15 | 1.5x | 18 | 10% |
| EMA 크로스오버 fast=54, slow=109 |
7.3% | -48.2% | 0.41 | 0.15 | 2.4x | 21 | 65% |
| ADX / DI 방향성 period=11, threshold=35 |
2.6% | -18.3% | 0.38 | 0.14 | 1.4x | 28 | 8% |
| 볼린저 밴드 돌파 n=59, k=1.5 |
5.6% | -43.8% | 0.37 | 0.13 | 2.0x | 67 | 43% |
| Parabolic SAR step=0.01, maxStep=0.28 |
2.1% | -65.9% | 0.21 | 0.03 | 1.3x | 172 | 58% |
| MACD fast=19, slow=42, signal=17 |
0.9% | -63.7% | 0.15 | 0.01 | 1.1x | 148 | 49% |
| Buy and hold | 15.8% | -57.8% | 0.60 | 0.27 | 6.0x | 1 | 100% |
Rules of the top strategy
A new high means a trend starting; a new low means it’s over (turtle-trading style).
- Buy — Buy on a breakout above the highest high of the last 43 days
- Sell — Sell when price breaks below the lowest low of the last 59 days