Trend-Following Backtester · Guide · backtest 한국어
equity · US
Bar Harbor Bankshares, Inc. backtest
10 trend-following strategies were compared on the full daily history of Bar Harbor Bankshares, Inc.. 0 beat buy-and-hold CAGR; EMA 크로스오버 ranks first by Sharpe, matching the main backtester.
Results by strategy
0 of 10 beat buy and hold (CAGR 4.7%, drawdown -58.4%).
Sharpe leader (same as main): EMA 크로스오버 — CAGR 2.7%, MDD -53.1%, Sharpe 0.23, 67% 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 |
|---|---|---|---|---|---|---|---|
| EMA 크로스오버 fast=71, slow=348 |
2.7% | -53.1% | 0.23 | 0.05 | 2.1x | 19 | 67% |
| ADX / DI 방향성 period=45, threshold=27 |
0.2% | -0.5% | 0.23 | 0.31 | 1.0x | 2 | 0% |
| SMA 크로스오버 fast=54, slow=243 |
2.0% | -46.9% | 0.20 | 0.04 | 1.8x | 43 | 55% |
| Donchian 채널 돌파 entryN=116, exitN=88 |
1.8% | -48.7% | 0.19 | 0.04 | 1.7x | 29 | 54% |
| Supertrend period=12, mult=4.8 |
-3.2% | -69.6% | -0.06 | -0.05 | 0.4x | 111 | 58% |
| MACD fast=31, slow=49, signal=23 |
-3.9% | -78.2% | -0.10 | -0.05 | 0.3x | 245 | 50% |
| 볼린저 밴드 돌파 n=23, k=3.5 |
-0.7% | -34.1% | -0.10 | -0.02 | 0.8x | 28 | 4% |
| ROC 모멘텀 n=156, threshold=0.11 |
-3.8% | -73.5% | -0.19 | -0.05 | 0.3x | 223 | 26% |
| Parabolic SAR step=0.005, maxStep=0.22 |
-6.2% | -87.8% | -0.21 | -0.07 | 0.2x | 219 | 50% |
| Keltner 채널 돌파 emaPeriod=21, atrPeriod=22, mult=3.9 |
-1.7% | -48.7% | -0.22 | -0.04 | 0.6x | 46 | 6% |
| Buy and hold | 4.7% | -58.4% | 0.30 | 0.08 | 3.7x | 1 | 100% |
Rules of the top strategy
Uses two exponential averages (more weight on recent prices) and trades their crossover.
- Buy — Buy when the 71-day EMA crosses above the 348-day EMA
- Sell — Sell when the 71-day EMA falls below the 348-day EMA