Trend-Following Backtester · Guide · backtest 한국어
equity · US
First Financial Corporation backtest
10 trend-following strategies were compared on the full daily history of First Financial Corporation. 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 -52.3%).
Sharpe leader (same as main): SMA 크로스오버 — CAGR 3.0%, MDD -65.0%, Sharpe 0.24, 58% 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=46, slow=163 |
3.0% | -65.0% | 0.24 | 0.05 | 2.7x | 63 | 58% |
| ROC 모멘텀 n=84, threshold=-0.14 |
2.0% | -73.1% | 0.22 | 0.03 | 2.0x | 161 | 92% |
| EMA 크로스오버 fast=58, slow=188 |
1.4% | -77.7% | 0.18 | 0.02 | 1.6x | 53 | 61% |
| 볼린저 밴드 돌파 n=93, k=2.9 |
1.4% | -45.8% | 0.17 | 0.03 | 1.6x | 41 | 20% |
| Donchian 채널 돌파 entryN=29, exitN=79 |
0.6% | -82.4% | 0.16 | 0.01 | 1.2x | 81 | 74% |
| Supertrend period=21, mult=5 |
-0.4% | -69.2% | 0.09 | -0.01 | 0.9x | 97 | 53% |
| ADX / DI 방향성 period=32, threshold=21 |
-0.2% | -35.7% | 0.02 | -0.01 | 0.9x | 38 | 7% |
| Keltner 채널 돌파 emaPeriod=52, atrPeriod=25, mult=4 |
-0.9% | -59.8% | -0.03 | -0.02 | 0.7x | 53 | 13% |
| Parabolic SAR step=0.005, maxStep=0.34 |
-4.4% | -93.7% | -0.07 | -0.05 | 0.2x | 285 | 55% |
| MACD fast=18, slow=45, signal=23 |
-9.8% | -97.8% | -0.36 | -0.10 | 0.0x | 417 | 50% |
| Buy and hold | 7.0% | -52.3% | 0.37 | 0.13 | 10.3x | 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 46-day average price crosses above the 163-day average
- Sell — Sell (to cash) when the 46-day average falls below the 163-day average