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 46.3%, MDD -39.8%).
Results by strategy
5 of 10 beat buy and hold (CAGR 45.4%, drawdown -58.0%).
Sharpe leader (same as main): SMA 크로스오버 — CAGR 57.0%, MDD -54.2%, Sharpe 1.28, 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 46.3%, 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 |
57.0% | -54.2% | 1.28 | 1.05 | 90.6x | 15 | 64% |
| 볼린저 밴드 돌파 n=128, k=0.7 |
48.4% | -41.3% | 1.23 | 1.17 | 51.8x | 21 | 61% |
| EMA 크로스오버 fast=21, slow=71 |
50.8% | -52.8% | 1.21 | 0.96 | 60.6x | 19 | 66% |
| Donchian 채널 돌파 entryN=62, exitN=44 |
45.5% | -44.7% | 1.20 | 1.02 | 42.5x | 13 | 57% |
| ROC 모멘텀 n=90, threshold=0.06 |
46.3% | -39.8% | 1.18 | 1.16 | 44.9x | 63 | 60% |
| Supertrend period=8, mult=2.8 |
40.9% | -48.6% | 1.03 | 0.84 | 30.7x | 75 | 65% |
| MACD fast=11, slow=44, signal=10 |
33.0% | -38.5% | 0.98 | 0.86 | 17.3x | 145 | 51% |
| Keltner 채널 돌파 emaPeriod=59, atrPeriod=27, mult=3.6 |
23.8% | -31.6% | 0.84 | 0.75 | 8.4x | 33 | 42% |
| ADX / DI 방향성 period=24, threshold=9 |
27.6% | -70.8% | 0.82 | 0.39 | 11.4x | 145 | 64% |
| Parabolic SAR step=0.015, maxStep=0.24 |
18.2% | -59.8% | 0.63 | 0.30 | 5.3x | 181 | 56% |
| Buy and hold | 45.4% | -58.0% | 0.96 | 0.78 | 42.3x | 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