Trend-Following Backtester · Guide · backtest 한국어
equity · US
ConnectOne Bancorp, Inc. backtest
10 trend-following strategies were compared on the full daily history of ConnectOne Bancorp, 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 6.0%, MDD -53.8%).
Results by strategy
1 of 10 beat buy and hold (CAGR 5.8%, drawdown -69.4%).
Sharpe leader (same as main): SMA 크로스오버 — CAGR 6.0%, MDD -53.8%, Sharpe 0.36, 56% exposure.
Return/drawdown alternative: SMA 크로스오버 — CAGR is 0.1%p higher than buy and hold, while drawdown improves by 15.6%p (CAGR 6.0%, MDD -53.8%, exposure 56%).
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=39, slow=155 |
6.0% | -53.8% | 0.36 | 0.11 | 6.5x | 57 | 56% |
| EMA 크로스오버 fast=22, slow=274 |
5.1% | -53.0% | 0.32 | 0.10 | 5.0x | 43 | 58% |
| Donchian 채널 돌파 entryN=93, exitN=74 |
2.9% | -61.7% | 0.24 | 0.05 | 2.5x | 51 | 49% |
| Supertrend period=24, mult=5 |
0.5% | -68.1% | 0.15 | 0.01 | 1.2x | 103 | 55% |
| ROC 모멘텀 n=207, threshold=-0.04 |
-0.7% | -67.5% | 0.11 | -0.01 | 0.8x | 277 | 65% |
| Keltner 채널 돌파 emaPeriod=56, atrPeriod=9, mult=3.9 |
0.3% | -40.0% | 0.09 | 0.01 | 1.1x | 70 | 20% |
| 볼린저 밴드 돌파 n=58, k=3.5 |
-0.4% | -55.2% | 0.02 | -0.01 | 0.9x | 30 | 10% |
| ADX / DI 방향성 period=34, threshold=15 |
-2.3% | -77.4% | -0.06 | -0.03 | 0.5x | 146 | 29% |
| Parabolic SAR step=0.005, maxStep=0.18 |
-6.7% | -90.8% | -0.16 | -0.07 | 0.1x | 262 | 50% |
| MACD fast=19, slow=45, signal=17 |
-14.0% | -99.4% | -0.47 | -0.14 | 0.0x | 452 | 50% |
| Buy and hold | 5.8% | -69.4% | 0.34 | 0.08 | 6.3x | 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 39-day average price crosses above the 155-day average
- Sell — Sell (to cash) when the 39-day average falls below the 155-day average