Trend-Following Backtester · Guide · backtest 한국어
equity · US
Avidbank Holdings, Inc. backtest
10 trend-following strategies were compared on the full daily history of Avidbank Holdings, Inc.. 3 beat buy-and-hold CAGR; Donchian 채널 돌파 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is EMA 크로스오버 (CAGR 5.1%, MDD -44.6%).
Results by strategy
3 of 10 beat buy and hold (CAGR 4.6%, drawdown -70.8%).
Sharpe leader (same as main): Donchian 채널 돌파 — CAGR 5.5%, MDD -57.4%, Sharpe 0.39, 61% exposure.
Return/drawdown alternative: EMA 크로스오버 — CAGR is 1.0%p higher than buy and hold, while drawdown improves by 13.3%p (CAGR 5.1%, MDD -44.6%, exposure 63%).
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 |
|---|---|---|---|---|---|---|---|
| Donchian 채널 돌파 entryN=82, exitN=78 |
5.5% | -57.4% | 0.39 | 0.10 | 3.3x | 35 | 61% |
| EMA 크로스오버 fast=23, slow=219 |
5.1% | -44.6% | 0.38 | 0.11 | 3.0x | 29 | 63% |
| SMA 크로스오버 fast=42, slow=93 |
5.5% | -48.8% | 0.37 | 0.11 | 3.2x | 51 | 59% |
| Keltner 채널 돌파 emaPeriod=100, atrPeriod=17, mult=3.4 |
4.4% | -51.8% | 0.34 | 0.08 | 2.6x | 65 | 53% |
| 볼린저 밴드 돌파 n=56, k=1.7 |
3.6% | -51.7% | 0.30 | 0.07 | 2.2x | 93 | 44% |
| ADX / DI 방향성 period=26, threshold=38 |
1.7% | -25.5% | 0.21 | 0.07 | 1.4x | 46 | 12% |
| ROC 모멘텀 n=136, threshold=-0.01 |
1.8% | -69.4% | 0.19 | 0.03 | 1.5x | 95 | 64% |
| MACD fast=28, slow=50, signal=23 |
-0.3% | -79.1% | 0.09 | -0.00 | 0.9x | 146 | 45% |
| Parabolic SAR step=0.025, maxStep=0.28 |
-3.4% | -86.3% | -0.07 | -0.04 | 0.5x | 275 | 53% |
| Supertrend period=13, mult=4.7 |
-5.0% | -90.1% | -0.16 | -0.06 | 0.3x | 191 | 54% |
| Buy and hold | 4.6% | -70.8% | 0.30 | 0.06 | 2.7x | 1 | 100% |
Rules of the top strategy
A new high means a trend starting; a new low means it’s over (turtle-trading style).
- Buy — Buy on a breakout above the highest high of the last 82 days
- Sell — Sell when price breaks below the lowest low of the last 78 days