Trend-Following Backtester · Guide · backtest 한국어
equity · US
FB Financial Corporation backtest
10 trend-following strategies were compared on the full daily history of FB Financial Corporation. 2 beat buy-and-hold CAGR; SMA 크로스오버 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is SMA 크로스오버 (CAGR 12.4%, MDD -34.1%).
Results by strategy
2 of 10 beat buy and hold (CAGR 11.4%, drawdown -65.8%).
Sharpe leader (same as main): SMA 크로스오버 — CAGR 12.4%, MDD -34.1%, Sharpe 0.60, 58% exposure.
Return/drawdown alternative: SMA 크로스오버 — CAGR is 1.1%p higher than buy and hold, while drawdown improves by 31.7%p (CAGR 12.4%, MDD -34.1%, exposure 58%).
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=45, slow=61 |
12.4% | -34.1% | 0.60 | 0.36 | 3.2x | 53 | 58% |
| Donchian 채널 돌파 entryN=38, exitN=79 |
12.3% | -47.4% | 0.56 | 0.26 | 3.2x | 17 | 73% |
| Supertrend period=5, mult=4.9 |
8.6% | -48.1% | 0.46 | 0.18 | 2.3x | 29 | 56% |
| EMA 크로스오버 fast=65, slow=114 |
7.8% | -35.5% | 0.45 | 0.22 | 2.1x | 15 | 59% |
| 볼린저 밴드 돌파 n=58, k=1.2 |
6.4% | -40.2% | 0.40 | 0.16 | 1.8x | 51 | 44% |
| ROC 모멘텀 n=55, threshold=-0.04 |
6.4% | -58.6% | 0.36 | 0.11 | 1.8x | 121 | 68% |
| Keltner 채널 돌파 emaPeriod=38, atrPeriod=19, mult=1.3 |
3.8% | -38.7% | 0.28 | 0.10 | 1.4x | 79 | 44% |
| ADX / DI 방향성 period=34, threshold=14 |
2.3% | -35.8% | 0.22 | 0.06 | 1.2x | 57 | 28% |
| Parabolic SAR step=0.005, maxStep=0.36 |
1.0% | -48.8% | 0.16 | 0.02 | 1.1x | 83 | 56% |
| MACD fast=10, slow=30, signal=14 |
0.2% | -46.3% | 0.13 | 0.00 | 1.0x | 161 | 51% |
| Buy and hold | 11.4% | -65.8% | 0.48 | 0.17 | 2.9x | 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 45-day average price crosses above the 61-day average
- Sell — Sell (to cash) when the 45-day average falls below the 61-day average