Trend-Following Backtester · Guide · backtest 한국어
equity · US
Blue Ridge Bankshares, Inc. backtest
10 trend-following strategies were compared on the full daily history of Blue Ridge Bankshares, Inc.. 5 beat buy-and-hold CAGR; EMA 크로스오버 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is SMA 크로스오버 (CAGR 9.3%, MDD -41.5%).
Results by strategy
5 of 10 beat buy and hold (CAGR -2.4%, drawdown -88.9%).
Sharpe leader (same as main): EMA 크로스오버 — CAGR 10.7%, MDD -41.8%, Sharpe 0.48, 53% exposure.
Return/drawdown alternative: SMA 크로스오버 — CAGR is 13.1%p higher than buy and hold, while drawdown improves by 47.2%p (CAGR 9.3%, MDD -41.5%, exposure 54%).
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=48, slow=75 |
10.7% | -41.8% | 0.48 | 0.26 | 4.1x | 18 | 53% |
| SMA 크로스오버 fast=23, slow=77 |
9.3% | -41.5% | 0.44 | 0.22 | 3.4x | 49 | 54% |
| ROC 모멘텀 n=128, threshold=-0.07 |
8.4% | -42.9% | 0.41 | 0.19 | 3.0x | 68 | 66% |
| Donchian 채널 돌파 entryN=100, exitN=73 |
4.7% | -55.4% | 0.31 | 0.09 | 1.9x | 18 | 49% |
| 볼린저 밴드 돌파 n=40, k=3.5 |
0.9% | -66.8% | 0.16 | 0.01 | 1.1x | 28 | 16% |
| Parabolic SAR step=0.01, maxStep=0.36 |
-3.6% | -71.7% | 0.04 | -0.05 | 0.6x | 119 | 48% |
| Keltner 채널 돌파 emaPeriod=30, atrPeriod=24, mult=3.9 |
-2.4% | -69.9% | 0.04 | -0.03 | 0.7x | 58 | 27% |
| Supertrend period=16, mult=4.9 |
-3.7% | -80.3% | 0.03 | -0.05 | 0.6x | 86 | 48% |
| ADX / DI 방향성 period=27, threshold=20 |
-4.0% | -71.2% | 0.00 | -0.06 | 0.6x | 82 | 34% |
| MACD fast=14, slow=43, signal=11 |
-12.1% | -91.4% | -0.22 | -0.13 | 0.2x | 203 | 50% |
| Buy and hold | -2.4% | -88.9% | 0.16 | -0.03 | 0.7x | 1 | 100% |
Rules of the top strategy
Uses two exponential averages (more weight on recent prices) and trades their crossover.
- Buy — Buy when the 48-day EMA crosses above the 75-day EMA
- Sell — Sell when the 48-day EMA falls below the 75-day EMA