Trend-Following Backtester · Guide · backtest 한국어
equity · US
Community Trust Bancorp, Inc. backtest
10 trend-following strategies were compared on the full daily history of Community Trust Bancorp, Inc.. 0 beat buy-and-hold CAGR; EMA 크로스오버 ranks first by Sharpe, matching the main backtester.
Results by strategy
0 of 10 beat buy and hold (CAGR 7.4%, drawdown -50.1%).
Sharpe leader (same as main): EMA 크로스오버 — CAGR 6.0%, MDD -54.4%, Sharpe 0.37, 64% 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 |
|---|---|---|---|---|---|---|---|
| EMA 크로스오버 fast=58, slow=216 |
6.0% | -54.4% | 0.37 | 0.11 | 9.6x | 37 | 64% |
| SMA 크로스오버 fast=68, slow=168 |
5.7% | -61.5% | 0.35 | 0.09 | 8.4x | 51 | 58% |
| 볼린저 밴드 돌파 n=28, k=3.5 |
1.4% | -20.6% | 0.28 | 0.07 | 1.7x | 20 | 8% |
| Donchian 채널 돌파 entryN=81, exitN=62 |
3.2% | -56.2% | 0.25 | 0.06 | 3.3x | 59 | 49% |
| ADX / DI 방향성 period=37, threshold=35 |
1.5% | -16.8% | 0.25 | 0.09 | 1.8x | 12 | 14% |
| ROC 모멘텀 n=191, threshold=-0.07 |
1.6% | -76.9% | 0.19 | 0.02 | 1.8x | 191 | 75% |
| Keltner 채널 돌파 emaPeriod=98, atrPeriod=29, mult=3 |
1.7% | -59.9% | 0.19 | 0.03 | 1.9x | 81 | 29% |
| Supertrend period=12, mult=5 |
1.3% | -66.6% | 0.17 | 0.02 | 1.6x | 79 | 55% |
| Parabolic SAR step=0.005, maxStep=0.28 |
-3.8% | -94.1% | -0.05 | -0.04 | 0.2x | 291 | 55% |
| MACD fast=18, slow=26, signal=17 |
-15.1% | -99.9% | -0.61 | -0.15 | 0.0x | 569 | 48% |
| Buy and hold | 7.4% | -50.1% | 0.38 | 0.15 | 15.6x | 1 | 100% |
Rules of the top strategy
Uses two exponential averages (more weight on recent prices) and trades their crossover.
- Buy — Buy when the 58-day EMA crosses above the 216-day EMA
- Sell — Sell when the 58-day EMA falls below the 216-day EMA