Trend-Following Backtester · Guide · backtest 한국어
equity · US
CVB Financial Corporation backtest
10 trend-following strategies were compared on the full daily history of CVB Financial Corporation. 0 beat buy-and-hold CAGR; ROC 모멘텀 ranks first by Sharpe, matching the main backtester. Its 100% market exposure makes it hold-like.
Results by strategy
0 of 10 beat buy and hold (CAGR 10.6%, drawdown -70.5%).
Sharpe leader (same as main): ROC 모멘텀 — CAGR 9.9%, MDD -70.5%, Sharpe 0.44, 100% exposure. With at least 95% exposure, it should be treated as hold-like, not strong evidence of timing skill.
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 |
|---|---|---|---|---|---|---|---|
| ROC 모멘텀 Hold-like · Exposure 100% n=1, threshold=-0.13 |
9.9% | -70.5% | 0.44 | 0.14 | 58.8x | 21 | 100% |
| SMA 크로스오버 fast=42, slow=162 |
6.7% | -59.6% | 0.37 | 0.11 | 16.8x | 79 | 61% |
| Donchian 채널 돌파 entryN=20, exitN=103 |
5.7% | -81.6% | 0.33 | 0.07 | 11.0x | 93 | 85% |
| EMA 크로스오버 fast=30, slow=244 |
5.0% | -76.0% | 0.31 | 0.07 | 8.3x | 71 | 61% |
| 볼린저 밴드 돌파 n=14, k=3.5 |
1.0% | -17.7% | 0.24 | 0.05 | 1.5x | 22 | 2% |
| Parabolic SAR step=0.005, maxStep=0.38 |
1.3% | -89.8% | 0.18 | 0.01 | 1.7x | 310 | 53% |
| Supertrend period=19, mult=4.7 |
1.1% | -77.8% | 0.17 | 0.01 | 1.6x | 201 | 53% |
| ADX / DI 방향성 period=31, threshold=37 |
1.0% | -30.5% | 0.16 | 0.03 | 1.6x | 16 | 6% |
| Keltner 채널 돌파 emaPeriod=47, atrPeriod=10, mult=3.9 |
0.6% | -60.2% | 0.12 | 0.01 | 1.3x | 107 | 21% |
| MACD fast=19, slow=23, signal=11 |
-8.7% | -99.0% | -0.24 | -0.09 | 0.0x | 730 | 50% |
| Buy and hold | 10.6% | -70.5% | 0.46 | 0.15 | 80.1x | 1 | 100% |
Rules of the top strategy
Rides the trend when recent return (momentum) over a window is above a threshold.
- Buy — Buy when the last 1-day return is greater than -13%
- Sell — Sell when the 1-day return drops to -13% or below