Trend-Following Backtester · Guide · backtest 한국어
equity · US
Alerus Financial Corporation backtest
10 trend-following strategies were compared on the full daily history of Alerus Financial Corporation. 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 8.4%, drawdown -63.4%).
Sharpe leader (same as main): EMA 크로스오버 — CAGR 7.9%, MDD -57.9%, Sharpe 0.36, 64% 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=41, slow=197 |
7.9% | -57.9% | 0.36 | 0.14 | 5.9x | 25 | 64% |
| SMA 크로스오버 fast=56, slow=178 |
7.8% | -57.9% | 0.36 | 0.13 | 5.7x | 25 | 61% |
| Donchian 채널 돌파 entryN=43, exitN=45 |
6.7% | -59.9% | 0.33 | 0.11 | 4.5x | 67 | 57% |
| ADX / DI 방향성 period=51, threshold=20 |
5.8% | -58.5% | 0.30 | 0.10 | 3.7x | 30 | 30% |
| ROC 모멘텀 n=118, threshold=-0.03 |
5.4% | -57.9% | 0.29 | 0.09 | 3.4x | 145 | 69% |
| Keltner 채널 돌파 emaPeriod=104, atrPeriod=28, mult=1 |
3.2% | -58.6% | 0.23 | 0.05 | 2.1x | 127 | 59% |
| Parabolic SAR step=0.005, maxStep=0.18 |
2.1% | -60.9% | 0.21 | 0.03 | 1.6x | 124 | 53% |
| 볼린저 밴드 돌파 n=58, k=3.5 |
1.1% | -59.9% | 0.16 | 0.02 | 1.3x | 42 | 25% |
| MACD fast=19, slow=58, signal=19 |
-3.6% | -78.7% | 0.04 | -0.05 | 0.4x | 243 | 49% |
| Supertrend period=24, mult=5 |
-3.7% | -80.4% | 0.03 | -0.05 | 0.4x | 179 | 45% |
| Buy and hold | 8.4% | -63.4% | 0.38 | 0.13 | 6.6x | 1 | 100% |
Rules of the top strategy
Uses two exponential averages (more weight on recent prices) and trades their crossover.
- Buy — Buy when the 41-day EMA crosses above the 197-day EMA
- Sell — Sell when the 41-day EMA falls below the 197-day EMA