Trend-Following Backtester · Guide · backtest 한국어
equity · US
Towne Bank backtest
10 trend-following strategies were compared on the full daily history of Towne Bank. 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 6.7%, drawdown -60.6%).
Sharpe leader (same as main): SMA 크로스오버 — CAGR 4.8%, MDD -61.2%, Sharpe 0.31, 54% 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=32, slow=77 |
4.8% | -61.2% | 0.31 | 0.08 | 3.6x | 97 | 54% |
| Donchian 채널 돌파 entryN=13, exitN=77 |
4.5% | -77.9% | 0.30 | 0.06 | 3.3x | 71 | 83% |
| EMA 크로스오버 fast=28, slow=64 |
1.3% | -80.0% | 0.18 | 0.02 | 1.4x | 115 | 54% |
| ROC 모멘텀 n=134, threshold=0.14 |
-0.5% | -73.9% | 0.08 | -0.01 | 0.9x | 176 | 28% |
| 볼린저 밴드 돌파 n=58, k=3.2 |
-0.0% | -65.7% | 0.07 | -0.00 | 1.0x | 34 | 12% |
| Supertrend period=5, mult=4.4 |
-2.0% | -75.0% | 0.06 | -0.03 | 0.6x | 105 | 55% |
| Keltner 채널 돌파 emaPeriod=40, atrPeriod=20, mult=3 |
-0.4% | -60.7% | 0.05 | -0.01 | 0.9x | 69 | 16% |
| Parabolic SAR step=0.005, maxStep=0.36 |
-3.2% | -86.1% | 0.01 | -0.04 | 0.4x | 223 | 53% |
| ADX / DI 방향성 period=30, threshold=33 |
-0.3% | -21.7% | -0.04 | -0.01 | 0.9x | 8 | 2% |
| MACD fast=16, slow=43, signal=17 |
-7.2% | -89.6% | -0.16 | -0.08 | 0.1x | 359 | 48% |
| Buy and hold | 6.7% | -60.6% | 0.36 | 0.11 | 5.9x | 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 32-day average price crosses above the 77-day average
- Sell — Sell (to cash) when the 32-day average falls below the 77-day average