Trend-Following Backtester · Guide · backtest 한국어
equity · US
Republic Bancorp, Inc. backtest
10 trend-following strategies were compared on the full daily history of Republic 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 7.7%, drawdown -65.8%).
Sharpe leader (same as main): SMA 크로스오버 — CAGR 5.1%, MDD -69.6%, Sharpe 0.32, 53% 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=48, slow=187 |
5.1% | -69.6% | 0.32 | 0.07 | 4.1x | 51 | 53% |
| Donchian 채널 돌파 entryN=103, exitN=90 |
4.1% | -58.5% | 0.29 | 0.07 | 3.1x | 29 | 53% |
| ADX / DI 방향성 period=38, threshold=27 |
1.8% | -24.2% | 0.24 | 0.07 | 1.6x | 7 | 4% |
| EMA 크로스오버 fast=59, slow=189 |
2.3% | -74.6% | 0.22 | 0.03 | 1.9x | 45 | 57% |
| Supertrend period=9, mult=4.5 |
2.1% | -57.5% | 0.21 | 0.04 | 1.8x | 73 | 57% |
| Keltner 채널 돌파 emaPeriod=48, atrPeriod=10, mult=3.3 |
2.0% | -60.0% | 0.21 | 0.03 | 1.7x | 51 | 16% |
| ROC 모멘텀 n=163, threshold=-0.08 |
1.1% | -76.5% | 0.19 | 0.01 | 1.4x | 201 | 73% |
| 볼린저 밴드 돌파 n=52, k=3.1 |
1.4% | -47.6% | 0.16 | 0.03 | 1.5x | 50 | 18% |
| MACD fast=30, slow=51, signal=23 |
-3.2% | -82.1% | 0.02 | -0.04 | 0.4x | 243 | 52% |
| Parabolic SAR step=0.005, maxStep=0.2 |
-7.0% | -90.9% | -0.13 | -0.08 | 0.1x | 233 | 54% |
| Buy and hold | 7.7% | -65.8% | 0.38 | 0.12 | 8.0x | 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 48-day average price crosses above the 187-day average
- Sell — Sell (to cash) when the 48-day average falls below the 187-day average