Trend-Following Backtester · Guide · backtest 한국어
equity · US
Tompkins Financial Corporation backtest
10 trend-following strategies were compared on the full daily history of Tompkins Financial Corporation. 1 beat buy-and-hold CAGR; SMA 크로스오버 ranks first by Sharpe, matching the main backtester.
Results by strategy
1 of 10 beat buy and hold (CAGR 4.7%, drawdown -66.2%).
Sharpe leader (same as main): SMA 크로스오버 — CAGR 5.7%, MDD -57.8%, Sharpe 0.33, 59% 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 |
|---|---|---|---|---|---|---|---|
| SMA 크로스오버 fast=95, slow=268 |
5.7% | -57.8% | 0.33 | 0.10 | 9.2x | 37 | 59% |
| ADX / DI 방향성 period=49, threshold=31 |
0.4% | -2.5% | 0.29 | 0.15 | 1.2x | 2 | 1% |
| EMA 크로스오버 fast=78, slow=121 |
2.2% | -73.9% | 0.22 | 0.03 | 2.4x | 57 | 59% |
| Donchian 채널 돌파 entryN=107, exitN=77 |
1.1% | -80.2% | 0.17 | 0.01 | 1.5x | 57 | 49% |
| Supertrend period=16, mult=5 |
-0.4% | -75.3% | 0.13 | -0.01 | 0.8x | 115 | 57% |
| 볼린저 밴드 돌파 n=42, k=3.5 |
-0.8% | -34.7% | -0.04 | -0.02 | 0.7x | 34 | 7% |
| MACD fast=41, slow=118, signal=54 |
-5.6% | -96.3% | -0.06 | -0.06 | 0.1x | 215 | 52% |
| Keltner 채널 돌파 emaPeriod=70, atrPeriod=20, mult=3.4 |
-2.9% | -82.9% | -0.09 | -0.04 | 0.3x | 105 | 24% |
| Parabolic SAR step=0.005, maxStep=0.24 |
-9.4% | -98.8% | -0.20 | -0.09 | 0.0x | 351 | 52% |
| ROC 모멘텀 n=186, threshold=-0.04 |
-11.6% | -99.7% | -0.23 | -0.12 | 0.0x | 459 | 68% |
| Buy and hold | 4.7% | -66.2% | 0.32 | 0.07 | 6.3x | 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 95-day average price crosses above the 268-day average
- Sell — Sell (to cash) when the 95-day average falls below the 268-day average