Trend-Following Backtester · Guide · backtest 한국어
equity · US
California BanCorp backtest
10 trend-following strategies were compared on the full daily history of California BanCorp. 1 beat buy-and-hold CAGR; MACD ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is SMA 크로스오버 (CAGR 3.1%, MDD -34.6%).
Results by strategy
1 of 10 beat buy and hold (CAGR 3.4%, drawdown -62.0%).
Sharpe leader (same as main): MACD — CAGR 5.0%, MDD -59.2%, Sharpe 0.29, 44% exposure.
Return/drawdown alternative: SMA 크로스오버 — CAGR is 1.6%p higher than buy and hold, while drawdown improves by 2.8%p (CAGR 3.1%, MDD -34.6%, exposure 50%).
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 |
|---|---|---|---|---|---|---|---|
| MACD fast=12, slow=25, signal=7 |
5.0% | -59.2% | 0.29 | 0.08 | 2.8x | 232 | 44% |
| SMA 크로스오버 fast=14, slow=77 |
3.1% | -34.6% | 0.26 | 0.09 | 1.9x | 69 | 50% |
| 볼린저 밴드 돌파 n=18, k=2.8 |
2.2% | -39.7% | 0.22 | 0.06 | 1.6x | 70 | 32% |
| Donchian 채널 돌파 entryN=119, exitN=78 |
0.8% | -47.8% | 0.13 | 0.02 | 1.2x | 35 | 52% |
| EMA 크로스오버 fast=33, slow=235 |
0.1% | -67.8% | 0.12 | 0.00 | 1.0x | 19 | 52% |
| ROC 모멘텀 n=63, threshold=0.03 |
0.6% | -36.6% | 0.12 | 0.02 | 1.1x | 157 | 36% |
| Supertrend period=5, mult=4.3 |
-2.0% | -78.1% | 0.02 | -0.03 | 0.7x | 95 | 52% |
| Keltner 채널 돌파 emaPeriod=55, atrPeriod=29, mult=1.3 |
-2.0% | -76.4% | 0.02 | -0.03 | 0.7x | 83 | 49% |
| ADX / DI 방향성 period=37, threshold=33 |
-3.1% | -66.8% | -0.08 | -0.05 | 0.5x | 32 | 25% |
| Parabolic SAR step=0.015, maxStep=0.14 |
-6.0% | -86.9% | -0.11 | -0.07 | 0.3x | 151 | 57% |
| Buy and hold | 3.4% | -62.0% | 0.27 | 0.06 | 2.0x | 1 | 100% |
Rules of the top strategy
Looks at the gap (MACD) between a short and long average crossing its own signal line.
- Buy — Buy when the MACD line (12/25) crosses above its 7-day signal line
- Sell — Sell when the MACD line crosses back below the signal line