Trend-Following Backtester · Guide · backtest 한국어
equity · US
SouthState Bank Corporation backtest
10 trend-following strategies were compared on the full daily history of SouthState Bank 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 7.5%, drawdown -59.8%).
Sharpe leader (same as main): SMA 크로스오버 — CAGR 4.4%, MDD -51.9%, Sharpe 0.30, 57% 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=54, slow=131 |
4.4% | -51.9% | 0.30 | 0.08 | 3.5x | 59 | 57% |
| Donchian 채널 돌파 entryN=30, exitN=77 |
3.9% | -66.7% | 0.28 | 0.06 | 3.1x | 57 | 76% |
| ADX / DI 방향성 period=35, threshold=31 |
1.1% | -19.7% | 0.27 | 0.06 | 1.4x | 6 | 2% |
| EMA 크로스오버 fast=43, slow=218 |
-0.0% | -60.9% | 0.12 | -0.00 | 1.0x | 55 | 64% |
| Keltner 채널 돌파 emaPeriod=13, atrPeriod=22, mult=3.6 |
0.4% | -24.9% | 0.09 | 0.02 | 1.1x | 34 | 4% |
| Supertrend period=14, mult=4.6 |
-2.3% | -73.0% | 0.05 | -0.03 | 0.5x | 105 | 58% |
| ROC 모멘텀 n=147, threshold=-0.02 |
-4.2% | -82.6% | -0.05 | -0.05 | 0.3x | 301 | 63% |
| 볼린저 밴드 돌파 n=32, k=3.3 |
-1.0% | -46.2% | -0.09 | -0.02 | 0.7x | 34 | 7% |
| Parabolic SAR step=0.005, maxStep=0.22 |
-7.3% | -94.9% | -0.19 | -0.08 | 0.1x | 267 | 53% |
| MACD fast=30, slow=47, signal=19 |
-8.8% | -95.2% | -0.26 | -0.09 | 0.1x | 295 | 49% |
| Buy and hold | 7.5% | -59.8% | 0.38 | 0.12 | 8.4x | 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 54-day average price crosses above the 131-day average
- Sell — Sell (to cash) when the 54-day average falls below the 131-day average