Trend-Following Backtester · Guide · backtest 한국어
equity · US
First National of Nebraska, Inc. backtest
10 trend-following strategies were compared on the full daily history of First National of Nebraska, Inc.. 2 beat buy-and-hold CAGR; SMA 크로스오버 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is SMA 크로스오버 (CAGR 9.1%, MDD -28.2%).
Results by strategy
2 of 10 beat buy and hold (CAGR 7.1%, drawdown -66.1%).
Sharpe leader (same as main): SMA 크로스오버 — CAGR 9.1%, MDD -28.2%, Sharpe 0.58, 65% exposure.
Return/drawdown alternative: SMA 크로스오버 — CAGR is 2.0%p higher than buy and hold, while drawdown improves by 37.9%p (CAGR 9.1%, MDD -28.2%, exposure 65%).
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=96 |
9.1% | -28.2% | 0.58 | 0.32 | 16.7x | 75 | 65% |
| EMA 크로스오버 fast=57, slow=112 |
8.7% | -33.5% | 0.55 | 0.26 | 14.9x | 33 | 69% |
| Donchian 채널 돌파 entryN=91, exitN=65 |
6.2% | -29.8% | 0.44 | 0.21 | 7.1x | 51 | 61% |
| ROC 모멘텀 n=44, threshold=-0.08 |
4.9% | -85.4% | 0.33 | 0.06 | 4.8x | 133 | 92% |
| ADX / DI 방향성 period=51, threshold=21 |
2.6% | -24.0% | 0.28 | 0.11 | 2.3x | 50 | 21% |
| 볼린저 밴드 돌파 n=72, k=2.5 |
1.6% | -33.4% | 0.19 | 0.05 | 1.7x | 93 | 37% |
| Parabolic SAR step=0.005, maxStep=0.24 |
0.0% | -57.8% | 0.09 | 0.00 | 1.0x | 165 | 59% |
| Keltner 채널 돌파 emaPeriod=57, atrPeriod=15, mult=4 |
-0.8% | -60.2% | 0.02 | -0.01 | 0.8x | 173 | 46% |
| MACD fast=15, slow=61, signal=26 |
-9.2% | -96.9% | -0.45 | -0.10 | 0.0x | 343 | 50% |
| Supertrend period=26, mult=5 |
-9.6% | -97.6% | -0.49 | -0.10 | 0.0x | 325 | 57% |
| Buy and hold | 7.1% | -66.1% | 0.40 | 0.11 | 9.1x | 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 96-day average
- Sell — Sell (to cash) when the 55-day average falls below the 96-day average