Trend-Following Backtester · Guide · backtest 한국어
equity · US
S&T Bancorp, Inc. backtest
10 trend-following strategies were compared on the full daily history of S&T 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 7.1%, drawdown -73.1%).
Sharpe leader (same as main): SMA 크로스오버 — CAGR 4.5%, MDD -59.2%, Sharpe 0.30, 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=56, slow=114 |
4.5% | -59.2% | 0.30 | 0.08 | 4.5x | 81 | 61% |
| EMA 크로스오버 fast=40, slow=148 |
4.0% | -66.1% | 0.28 | 0.06 | 3.8x | 61 | 65% |
| Donchian 채널 돌파 entryN=89, exitN=52 |
3.1% | -48.1% | 0.25 | 0.06 | 2.9x | 69 | 50% |
| Supertrend period=10, mult=5 |
2.5% | -63.7% | 0.22 | 0.04 | 2.4x | 69 | 66% |
| 볼린저 밴드 돌파 n=54, k=3.3 |
1.5% | -34.7% | 0.20 | 0.04 | 1.6x | 34 | 11% |
| ROC 모멘텀 n=31, threshold=-0.09 |
-0.2% | -82.4% | 0.14 | -0.00 | 0.9x | 295 | 90% |
| ADX / DI 방향성 period=17, threshold=33 |
0.5% | -35.7% | 0.11 | 0.01 | 1.2x | 51 | 6% |
| Keltner 채널 돌파 emaPeriod=74, atrPeriod=17, mult=2.6 |
0.3% | -56.9% | 0.10 | 0.01 | 1.1x | 99 | 30% |
| Parabolic SAR step=0.005, maxStep=0.28 |
-4.8% | -95.6% | -0.08 | -0.05 | 0.2x | 311 | 56% |
| MACD fast=14, slow=51, signal=18 |
-8.3% | -97.0% | -0.26 | -0.09 | 0.1x | 463 | 49% |
| Buy and hold | 7.1% | -73.1% | 0.37 | 0.10 | 10.6x | 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 114-day average
- Sell — Sell (to cash) when the 56-day average falls below the 114-day average