Trend-Following Backtester · Guide · backtest 한국어

equity · JP

BayCurrent, Inc backtest

10 trend-following strategies were compared on the full daily history of BayCurrent, Inc. 5 beat buy-and-hold CAGR; SMA 크로스오버 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is ROC 모멘텀 (CAGR 44.8%, MDD -39.8%).

Data 2016-09-02 ~ 2026-07-31daily bars 2,441 (9.9 years)Costs 0.5%Venue TSEMonthly snapshot 2026-07-31

Results by strategy

5 of 10 beat buy and hold (CAGR 43.9%, drawdown -58.0%).

Sharpe leader (same as main): SMA 크로스오버 — CAGR 55.4%, MDD -54.2%, Sharpe 1.25, 64% exposure.

Return/drawdown alternative: ROC 모멘텀 — CAGR is 11.5%p higher than buy and hold, while drawdown improves by 3.8%p (CAGR 44.8%, MDD -39.8%, exposure 60%).

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 · parametersCAGRMDDSharpeCalmarTotalTradesExposure
SMA 크로스오버
fast=57, slow=107
55.4%-54.2%1.251.0279.0x1564%
볼린저 밴드 돌파
n=128, k=0.7
46.9%-41.3%1.201.1345.2x2161%
EMA 크로스오버
fast=21, slow=71
49.2%-52.8%1.180.9352.8x1966%
Donchian 채널 돌파
entryN=62, exitN=44
44.0%-44.7%1.170.9837.0x1357%
ROC 모멘텀
n=90, threshold=0.06
44.8%-39.8%1.151.1239.2x6360%
Supertrend
period=8, mult=2.8
39.3%-48.6%1.000.8126.7x7565%
MACD
fast=11, slow=44, signal=10
32.4%-38.5%0.960.8416.2x14351%
Keltner 채널 돌파
emaPeriod=59, atrPeriod=27, mult=3.6
22.3%-31.6%0.800.717.3x3342%
ADX / DI 방향성
period=24, threshold=9
26.1%-70.8%0.790.3710.0x14564%
Parabolic SAR
step=0.015, maxStep=0.24
16.7%-59.8%0.590.284.6x18156%
Buy and hold43.9%-58.0%0.940.7636.8x1100%
1x 10x 2017 2019 2021 2023 2025 SMA 크로스오버Buy and hold
SMA 크로스오버: Solid strategy line versus dashed buy-and-hold line. Log scale.
0% -15% -29% -44% -58% 2017 2019 2021 2023 2025 Buy and holdSMA 크로스오버
SMA 크로스오버 maximum drawdown -54.2% (2020-02-06 → 2020-03-19), recovered after 162 days.

Rules of the top strategy

When the short average rises above the long average, it reads that as an uptrend starting.

Method and caveats

Past performance does not guarantee future returns. Parameters were selected on the same full-history sample using sharpe over 40 trials per strategy, so results contain in-sample bias. 0.5% trading costs are included; taxes, slippage and rejected orders are not.
Re-run the same setupAll asset reports

Read next