Trend-Following Backtester · Guide · backtest 한국어
equity · US
Capitol Federal Financial, Inc. backtest
10 trend-following strategies were compared on the full daily history of Capitol Federal Financial, Inc.. 1 beat buy-and-hold CAGR; SMA 크로스오버 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is SMA 크로스오버 (CAGR 2.8%, MDD -63.0%).
Results by strategy
1 of 10 beat buy and hold (CAGR 2.7%, drawdown -80.8%).
Sharpe leader (same as main): SMA 크로스오버 — CAGR 2.8%, MDD -63.0%, Sharpe 0.25, 54% exposure.
Return/drawdown alternative: SMA 크로스오버 — CAGR is 0.1%p higher than buy and hold, while drawdown improves by 17.9%p (CAGR 2.8%, MDD -63.0%, exposure 54%).
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=38, slow=127 |
2.8% | -63.0% | 0.25 | 0.04 | 2.1x | 61 | 54% |
| 볼린저 밴드 돌파 n=28, k=2 |
1.8% | -51.6% | 0.21 | 0.03 | 1.6x | 161 | 28% |
| ADX / DI 방향성 period=34, threshold=39 |
0.5% | -10.2% | 0.20 | 0.05 | 1.1x | 2 | 1% |
| EMA 크로스오버 fast=21, slow=85 |
2.0% | -69.6% | 0.20 | 0.03 | 1.7x | 95 | 54% |
| Donchian 채널 돌파 entryN=101, exitN=51 |
1.8% | -62.3% | 0.20 | 0.03 | 1.6x | 43 | 40% |
| Keltner 채널 돌파 emaPeriod=22, atrPeriod=20, mult=1.8 |
0.9% | -50.7% | 0.14 | 0.02 | 1.3x | 143 | 23% |
| ROC 모멘텀 n=78, threshold=-0.08 |
0.5% | -79.3% | 0.12 | 0.01 | 1.2x | 151 | 80% |
| Supertrend period=14, mult=4.2 |
0.4% | -68.7% | 0.10 | 0.01 | 1.1x | 97 | 53% |
| MACD fast=19, slow=50, signal=19 |
-1.5% | -80.2% | -0.02 | -0.02 | 0.7x | 281 | 49% |
| Parabolic SAR step=0.005, maxStep=0.32 |
-2.2% | -84.2% | -0.05 | -0.03 | 0.5x | 239 | 51% |
| Buy and hold | 2.7% | -80.8% | 0.23 | 0.03 | 2.0x | 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 38-day average price crosses above the 127-day average
- Sell — Sell (to cash) when the 38-day average falls below the 127-day average