Trend-Following Backtester · Guide · backtest 한국어
equity · US
Stock Yards Bancorp, Inc. backtest
10 trend-following strategies were compared on the full daily history of Stock Yards Bancorp, Inc.. 0 beat buy-and-hold CAGR; ROC 모멘텀 ranks first by Sharpe, matching the main backtester. Its 98% market exposure makes it hold-like.
Results by strategy
0 of 10 beat buy and hold (CAGR 12.3%, drawdown -51.4%).
Sharpe leader (same as main): ROC 모멘텀 — CAGR 6.8%, MDD -81.9%, Sharpe 0.37, 98% exposure. With at least 95% exposure, it should be treated as hold-like, not strong evidence of timing skill.
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 |
|---|---|---|---|---|---|---|---|
| ROC 모멘텀 Hold-like · Exposure 98% n=11, threshold=-0.11 |
6.8% | -81.9% | 0.37 | 0.08 | 9.1x | 101 | 98% |
| SMA 크로스오버 fast=52, slow=100 |
6.1% | -50.1% | 0.36 | 0.12 | 7.3x | 95 | 63% |
| EMA 크로스오버 fast=57, slow=109 |
6.1% | -64.7% | 0.36 | 0.09 | 7.2x | 59 | 68% |
| Donchian 채널 돌파 entryN=87, exitN=77 |
5.0% | -52.1% | 0.32 | 0.10 | 5.2x | 51 | 63% |
| Supertrend period=17, mult=4.9 |
4.5% | -43.0% | 0.31 | 0.10 | 4.3x | 113 | 58% |
| ADX / DI 방향성 period=31, threshold=19 |
0.7% | -61.9% | 0.12 | 0.01 | 1.3x | 93 | 17% |
| Keltner 채널 돌파 emaPeriod=25, atrPeriod=13, mult=4 |
0.6% | -25.1% | 0.12 | 0.03 | 1.2x | 54 | 8% |
| 볼린저 밴드 돌파 n=23, k=3.5 |
0.1% | -36.7% | 0.04 | 0.00 | 1.0x | 14 | 2% |
| Parabolic SAR step=0.005, maxStep=0.2 |
-4.4% | -92.4% | -0.08 | -0.05 | 0.2x | 288 | 57% |
| MACD fast=17, slow=27, signal=23 |
-8.0% | -96.9% | -0.26 | -0.08 | 0.1x | 466 | 49% |
| Buy and hold | 12.3% | -51.4% | 0.52 | 0.24 | 49.1x | 1 | 100% |
Rules of the top strategy
Rides the trend when recent return (momentum) over a window is above a threshold.
- Buy — Buy when the last 11-day return is greater than -11%
- Sell — Sell when the 11-day return drops to -11% or below