Trend-Following Backtester · Guide · backtest 한국어
equity · IN
City Union Bank Limited backtest
10 trend-following strategies were compared on the full daily history of City Union Bank Limited. 0 beat buy-and-hold CAGR; SMA 크로스오버 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is Donchian 채널 돌파 (CAGR 19.2%, MDD -37.0%).
Results by strategy
0 of 10 beat buy and hold (CAGR 22.4%, drawdown -76.8%).
Sharpe leader (same as main): SMA 크로스오버 — CAGR 19.8%, MDD -52.7%, Sharpe 0.76, 68% exposure.
Return/drawdown alternative: Donchian 채널 돌파 — CAGR is 2.6%p lower than buy and hold, while drawdown improves by 24.1%p (CAGR 19.2%, MDD -37.0%, exposure 69%).
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=24, slow=134 |
19.8% | -52.7% | 0.76 | 0.38 | 78.1x | 41 | 68% |
| Donchian 채널 돌파 entryN=53, exitN=50 |
19.2% | -37.0% | 0.75 | 0.52 | 68.9x | 39 | 69% |
| ROC 모멘텀 n=116, threshold=-0.04 |
19.1% | -52.7% | 0.72 | 0.36 | 67.0x | 165 | 76% |
| EMA 크로스오버 fast=45, slow=88 |
18.2% | -52.7% | 0.71 | 0.34 | 55.7x | 45 | 70% |
| Supertrend period=10, mult=3.6 |
16.6% | -43.1% | 0.71 | 0.38 | 40.2x | 89 | 59% |
| MACD fast=19, slow=57, signal=17 |
15.1% | -45.8% | 0.67 | 0.33 | 29.9x | 237 | 50% |
| 볼린저 밴드 돌파 n=45, k=1.3 |
13.9% | -50.1% | 0.64 | 0.28 | 22.8x | 159 | 49% |
| Parabolic SAR step=0.005, maxStep=0.24 |
14.1% | -47.8% | 0.63 | 0.29 | 23.7x | 179 | 59% |
| Keltner 채널 돌파 emaPeriod=51, atrPeriod=27, mult=1.7 |
12.9% | -39.2% | 0.61 | 0.33 | 18.5x | 123 | 47% |
| ADX / DI 방향성 period=45, threshold=7 |
14.4% | -61.9% | 0.61 | 0.23 | 25.5x | 209 | 68% |
| Buy and hold | 22.4% | -76.8% | 0.74 | 0.29 | 129.7x | 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 24-day average price crosses above the 134-day average
- Sell — Sell (to cash) when the 24-day average falls below the 134-day average