Trend-Following Backtester · Guide · backtest 한국어
equity · US
First Bancorp backtest
10 trend-following strategies were compared on the full daily history of First Bancorp. 0 beat buy-and-hold CAGR; SMA 크로스오버 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is SMA 크로스오버 (CAGR 6.8%, MDD -51.8%).
Results by strategy
0 of 10 beat buy and hold (CAGR 7.3%, drawdown -75.2%).
Sharpe leader (same as main): SMA 크로스오버 — CAGR 6.8%, MDD -51.8%, Sharpe 0.36, 55% exposure.
Return/drawdown alternative: SMA 크로스오버 — CAGR is 0.5%p lower than buy and hold, while drawdown improves by 23.3%p (CAGR 6.8%, MDD -51.8%, exposure 55%).
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=28, slow=103 |
6.8% | -51.8% | 0.36 | 0.13 | 13.4x | 113 | 55% |
| ROC 모멘텀 Hold-like · Exposure 100% n=1, threshold=-0.15 |
5.3% | -79.8% | 0.34 | 0.07 | 7.5x | 17 | 100% |
| EMA 크로스오버 fast=51, slow=184 |
3.3% | -76.0% | 0.26 | 0.04 | 3.6x | 55 | 59% |
| Donchian 채널 돌파 entryN=46, exitN=101 |
2.5% | -82.7% | 0.25 | 0.03 | 2.6x | 65 | 74% |
| 볼린저 밴드 돌파 n=63, k=2.8 |
-0.4% | -76.8% | 0.06 | -0.01 | 0.8x | 79 | 19% |
| ADX / DI 방향성 period=34, threshold=30 |
0.0% | -8.4% | 0.02 | 0.00 | 1.0x | 4 | 1% |
| Keltner 채널 돌파 emaPeriod=57, atrPeriod=13, mult=4 |
-3.7% | -86.8% | -0.13 | -0.04 | 0.2x | 94 | 17% |
| Parabolic SAR step=0.005, maxStep=0.36 |
-9.1% | -98.6% | -0.13 | -0.09 | 0.0x | 338 | 52% |
| Supertrend period=21, mult=5 |
-9.9% | -99.1% | -0.15 | -0.10 | 0.0x | 161 | 57% |
| MACD fast=31, slow=70, signal=51 |
-9.8% | -99.5% | -0.17 | -0.10 | 0.0x | 299 | 50% |
| Buy and hold | 7.3% | -75.2% | 0.38 | 0.10 | 15.9x | 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 28-day average price crosses above the 103-day average
- Sell — Sell (to cash) when the 28-day average falls below the 103-day average