Trend-Following Backtester · Guide · backtest 한국어
equity · US
Columbia Banking System, Inc. backtest
10 trend-following strategies were compared on the full daily history of Columbia Banking System, 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 7.6%, MDD -60.1%).
Results by strategy
1 of 10 beat buy and hold (CAGR 6.3%, drawdown -86.8%).
Sharpe leader (same as main): SMA 크로스오버 — CAGR 7.6%, MDD -60.1%, Sharpe 0.41, 56% exposure.
Return/drawdown alternative: SMA 크로스오버 — CAGR is 1.2%p higher than buy and hold, while drawdown improves by 26.7%p (CAGR 7.6%, MDD -60.1%, 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=76, slow=129 |
7.6% | -60.1% | 0.41 | 0.13 | 12.1x | 79 | 56% |
| Supertrend period=22, mult=3.1 |
5.4% | -61.2% | 0.33 | 0.09 | 6.1x | 150 | 52% |
| Donchian 채널 돌파 entryN=119, exitN=90 |
4.9% | -61.6% | 0.32 | 0.08 | 5.2x | 39 | 55% |
| 볼린저 밴드 돌파 n=53, k=3.5 |
2.6% | -30.0% | 0.29 | 0.09 | 2.4x | 28 | 9% |
| EMA 크로스오버 fast=55, slow=137 |
3.6% | -62.3% | 0.27 | 0.06 | 3.3x | 57 | 56% |
| Parabolic SAR step=0.005, maxStep=0.32 |
0.7% | -70.0% | 0.17 | 0.01 | 1.3x | 288 | 52% |
| ADX / DI 방향성 period=48, threshold=28 |
0.2% | -16.3% | 0.07 | 0.01 | 1.1x | 10 | 3% |
| Keltner 채널 돌파 emaPeriod=58, atrPeriod=11, mult=2.3 |
-1.0% | -72.0% | 0.05 | -0.01 | 0.7x | 130 | 31% |
| ROC 모멘텀 n=165, threshold=0.01 |
-2.3% | -82.4% | 0.03 | -0.03 | 0.5x | 321 | 55% |
| MACD fast=30, slow=47, signal=26 |
-4.5% | -93.7% | -0.00 | -0.05 | 0.2x | 310 | 51% |
| Buy and hold | 6.3% | -86.8% | 0.36 | 0.07 | 8.1x | 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 76-day average price crosses above the 129-day average
- Sell — Sell (to cash) when the 76-day average falls below the 129-day average