Trend-Following Backtester · Guide · backtest 한국어
equity · US
German American Bancorp, Inc. backtest
10 trend-following strategies were compared on the full daily history of German American Bancorp, 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 7.0%, drawdown -60.3%).
Sharpe leader (same as main): SMA 크로스오버 — CAGR 4.9%, MDD -42.3%, Sharpe 0.32, 59% 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=56, slow=185 |
4.9% | -42.3% | 0.32 | 0.11 | 4.8x | 57 | 59% |
| EMA 크로스오버 fast=44, slow=277 |
3.8% | -48.3% | 0.27 | 0.08 | 3.4x | 37 | 65% |
| ADX / DI 방향성 period=37, threshold=35 |
1.2% | -10.3% | 0.24 | 0.12 | 1.5x | 4 | 1% |
| Donchian 채널 돌파 entryN=88, exitN=77 |
2.7% | -51.2% | 0.23 | 0.05 | 2.4x | 49 | 58% |
| 볼린저 밴드 돌파 n=41, k=3.3 |
0.8% | -43.2% | 0.12 | 0.02 | 1.3x | 42 | 9% |
| ROC 모멘텀 n=33, threshold=0.35 |
0.0% | -11.1% | 0.02 | 0.00 | 1.0x | 10 | 0% |
| Supertrend period=13, mult=5 |
-5.0% | -93.8% | -0.09 | -0.05 | 0.2x | 127 | 57% |
| Keltner 채널 돌파 emaPeriod=54, atrPeriod=15, mult=4 |
-2.4% | -64.4% | -0.17 | -0.04 | 0.4x | 63 | 11% |
| Parabolic SAR step=0.005, maxStep=0.14 |
-8.4% | -96.5% | -0.26 | -0.09 | 0.1x | 285 | 52% |
| MACD fast=31, slow=44, signal=26 |
-9.0% | -96.2% | -0.30 | -0.09 | 0.0x | 327 | 50% |
| Buy and hold | 7.0% | -60.3% | 0.37 | 0.12 | 9.6x | 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 56-day average price crosses above the 185-day average
- Sell — Sell (to cash) when the 56-day average falls below the 185-day average