Trend-Following Backtester · Guide · backtest 한국어
equity · US
BancFirst Corporation backtest
10 trend-following strategies were compared on the full daily history of BancFirst Corporation. 0 beat buy-and-hold CAGR; SMA 크로스오버 ranks first by Sharpe, matching the main backtester.
Results by strategy
0 of 10 beat buy and hold (CAGR 11.9%, drawdown -59.8%).
Sharpe leader (same as main): SMA 크로스오버 — CAGR 6.5%, MDD -57.6%, Sharpe 0.37, 66% exposure.
No strategy retained at least 75% of buy-and-hold CAGR while reducing drawdown by both 20% relatively and 5 percentage points absolutely.
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=58, slow=200 |
6.5% | -57.6% | 0.37 | 0.11 | 10.0x | 57 | 66% |
| Donchian 채널 돌파 entryN=88, exitN=64 |
6.0% | -61.3% | 0.36 | 0.10 | 8.5x | 62 | 62% |
| EMA 크로스오버 fast=52, slow=205 |
6.0% | -61.7% | 0.36 | 0.10 | 8.3x | 56 | 67% |
| Supertrend period=15, mult=5 |
5.3% | -55.8% | 0.33 | 0.09 | 6.5x | 96 | 66% |
| ROC 모멘텀 n=88, threshold=-0.15 |
5.2% | -78.2% | 0.32 | 0.07 | 6.4x | 177 | 93% |
| Keltner 채널 돌파 emaPeriod=91, atrPeriod=10, mult=3.8 |
3.4% | -46.1% | 0.28 | 0.07 | 3.4x | 74 | 33% |
| 볼린저 밴드 돌파 n=77, k=3.5 |
2.8% | -40.7% | 0.27 | 0.07 | 2.7x | 30 | 15% |
| Parabolic SAR step=0.005, maxStep=0.14 |
0.7% | -78.6% | 0.15 | 0.01 | 1.3x | 298 | 56% |
| ADX / DI 방향성 period=37, threshold=15 |
0.5% | -43.4% | 0.11 | 0.01 | 1.2x | 108 | 23% |
| MACD fast=20, slow=53, signal=23 |
-2.4% | -83.8% | 0.02 | -0.03 | 0.4x | 368 | 50% |
| Buy and hold | 11.9% | -59.8% | 0.50 | 0.20 | 60.7x | 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 58-day average price crosses above the 200-day average
- Sell — Sell (to cash) when the 58-day average falls below the 200-day average