Trend-Following Backtester · Guide · backtest 한국어
equity · JP
BayCurrent, Inc backtest
10 trend-following strategies were compared on the full daily history of BayCurrent, Inc. 5 beat buy-and-hold CAGR; SMA 크로스오버 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is ROC 모멘텀 (CAGR 44.8%, MDD -39.8%).
Results by strategy
5 of 10 beat buy and hold (CAGR 43.9%, drawdown -58.0%).
Sharpe leader (same as main): SMA 크로스오버 — CAGR 55.4%, MDD -54.2%, Sharpe 1.25, 64% exposure.
Return/drawdown alternative: ROC 모멘텀 — CAGR is 11.5%p higher than buy and hold, while drawdown improves by 3.8%p (CAGR 44.8%, MDD -39.8%, exposure 60%).
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 |
|---|---|---|---|---|---|---|---|
| SMA 크로스오버 fast=57, slow=107 |
55.4% | -54.2% | 1.25 | 1.02 | 79.0x | 15 | 64% |
| 볼린저 밴드 돌파 n=128, k=0.7 |
46.9% | -41.3% | 1.20 | 1.13 | 45.2x | 21 | 61% |
| EMA 크로스오버 fast=21, slow=71 |
49.2% | -52.8% | 1.18 | 0.93 | 52.8x | 19 | 66% |
| Donchian 채널 돌파 entryN=62, exitN=44 |
44.0% | -44.7% | 1.17 | 0.98 | 37.0x | 13 | 57% |
| ROC 모멘텀 n=90, threshold=0.06 |
44.8% | -39.8% | 1.15 | 1.12 | 39.2x | 63 | 60% |
| Supertrend period=8, mult=2.8 |
39.3% | -48.6% | 1.00 | 0.81 | 26.7x | 75 | 65% |
| MACD fast=11, slow=44, signal=10 |
32.4% | -38.5% | 0.96 | 0.84 | 16.2x | 143 | 51% |
| Keltner 채널 돌파 emaPeriod=59, atrPeriod=27, mult=3.6 |
22.3% | -31.6% | 0.80 | 0.71 | 7.3x | 33 | 42% |
| ADX / DI 방향성 period=24, threshold=9 |
26.1% | -70.8% | 0.79 | 0.37 | 10.0x | 145 | 64% |
| Parabolic SAR step=0.015, maxStep=0.24 |
16.7% | -59.8% | 0.59 | 0.28 | 4.6x | 181 | 56% |
| Buy and hold | 43.9% | -58.0% | 0.94 | 0.76 | 36.8x | 1 | 100% |
Rules of the top strategy
When the short average rises above the long average, it reads that as an uptrend starting.
- Buy — Buy when the 57-day average price crosses above the 107-day average
- Sell — Sell (to cash) when the 57-day average falls below the 107-day average