Trend-Following Backtester · Guide · backtest 한국어
equity · US
First Financial Bankshares, Inc. backtest
10 trend-following strategies were compared on the full daily history of First Financial Bankshares, Inc.. 0 beat buy-and-hold CAGR; SMA 크로스오버 ranks first by Sharpe, matching the main backtester.
Results by strategy
0 of 10 beat buy and hold (CAGR 10.6%, drawdown -57.6%).
Sharpe leader (same as main): SMA 크로스오버 — CAGR 6.6%, MDD -37.4%, Sharpe 0.38, 61% 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 |
|---|---|---|---|---|---|---|---|
| SMA 크로스오버 fast=45, slow=195 |
6.6% | -37.4% | 0.38 | 0.18 | 8.1x | 49 | 61% |
| EMA 크로스오버 fast=28, slow=261 |
6.5% | -42.7% | 0.37 | 0.15 | 7.8x | 45 | 71% |
| Donchian 채널 돌파 entryN=108, exitN=74 |
4.6% | -47.5% | 0.32 | 0.10 | 4.3x | 43 | 50% |
| Supertrend period=26, mult=4.7 |
1.5% | -65.8% | 0.18 | 0.02 | 1.6x | 91 | 62% |
| ADX / DI 방향성 period=37, threshold=17 |
0.6% | -41.0% | 0.11 | 0.01 | 1.2x | 62 | 12% |
| MACD fast=29, slow=80, signal=49 |
-0.2% | -51.2% | 0.10 | -0.00 | 0.9x | 191 | 50% |
| 볼린저 밴드 돌파 n=25, k=3.5 |
-0.0% | -19.8% | 0.02 | -0.00 | 1.0x | 18 | 2% |
| Keltner 채널 돌파 emaPeriod=7, atrPeriod=22, mult=3.1 |
-0.2% | -17.4% | -0.03 | -0.01 | 0.9x | 14 | 1% |
| ROC 모멘텀 n=141, threshold=0.07 |
-3.8% | -92.5% | -0.08 | -0.04 | 0.3x | 355 | 45% |
| Parabolic SAR step=0.005, maxStep=0.44 |
-4.8% | -90.3% | -0.09 | -0.05 | 0.2x | 292 | 55% |
| Buy and hold | 10.6% | -57.6% | 0.47 | 0.18 | 27.0x | 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 45-day average price crosses above the 195-day average
- Sell — Sell (to cash) when the 45-day average falls below the 195-day average