Trend-Following Backtester · Guide · backtest 한국어
equity · US
Community Financial System, Inc. backtest
10 trend-following strategies were compared on the full daily history of Community Financial System, 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 7.2%, drawdown -68.6%).
Sharpe leader (same as main): SMA 크로스오버 — CAGR 4.9%, MDD -44.7%, Sharpe 0.32, 56% 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=55, slow=278 |
4.9% | -44.7% | 0.32 | 0.11 | 7.1x | 43 | 56% |
| EMA 크로스오버 fast=64, slow=248 |
4.0% | -49.9% | 0.28 | 0.08 | 4.8x | 35 | 64% |
| ADX / DI 방향성 period=33, threshold=40 |
1.3% | -15.8% | 0.26 | 0.08 | 1.7x | 4 | 3% |
| Donchian 채널 돌파 entryN=50, exitN=78 |
2.4% | -60.2% | 0.22 | 0.04 | 2.7x | 79 | 64% |
| 볼린저 밴드 돌파 n=58, k=2.4 |
1.6% | -45.5% | 0.18 | 0.04 | 1.9x | 110 | 29% |
| Supertrend period=30, mult=5 |
-0.4% | -74.2% | 0.11 | -0.01 | 0.9x | 129 | 55% |
| Keltner 채널 돌파 emaPeriod=44, atrPeriod=28, mult=2.5 |
-0.8% | -64.5% | 0.03 | -0.01 | 0.7x | 154 | 27% |
| Parabolic SAR step=0.005, maxStep=0.24 |
-2.6% | -87.4% | 0.00 | -0.03 | 0.3x | 336 | 53% |
| ROC 모멘텀 n=137, threshold=0.09 |
-2.4% | -75.2% | -0.03 | -0.03 | 0.4x | 378 | 36% |
| MACD fast=40, slow=48, signal=30 |
-6.5% | -95.5% | -0.17 | -0.07 | 0.1x | 314 | 52% |
| Buy and hold | 7.2% | -68.6% | 0.37 | 0.10 | 16.6x | 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 55-day average price crosses above the 278-day average
- Sell — Sell (to cash) when the 55-day average falls below the 278-day average