Trend-Following Backtester · Guide · backtest 한국어
equity · US
Burke & Herbert Financial Services Corp. backtest
10 trend-following strategies were compared on the full daily history of Burke & Herbert Financial Services Corp.. 3 beat buy-and-hold CAGR; EMA 크로스오버 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is EMA 크로스오버 (CAGR 3.1%, MDD -40.4%).
Results by strategy
3 of 10 beat buy and hold (CAGR 1.5%, drawdown -51.0%).
Sharpe leader (same as main): EMA 크로스오버 — CAGR 3.1%, MDD -40.4%, Sharpe 0.25, 49% exposure.
Return/drawdown alternative: EMA 크로스오버 — CAGR is 1.6%p higher than buy and hold, while drawdown improves by 10.5%p (CAGR 3.1%, MDD -40.4%, exposure 49%).
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=42, slow=48 |
3.1% | -40.4% | 0.25 | 0.08 | 2.0x | 53 | 49% |
| ADX / DI 방향성 period=49, threshold=36 |
0.8% | -5.2% | 0.23 | 0.15 | 1.2x | 4 | 7% |
| Donchian 채널 돌파 entryN=36, exitN=56 |
2.3% | -46.4% | 0.21 | 0.05 | 1.7x | 69 | 58% |
| SMA 크로스오버 fast=51, slow=168 |
1.9% | -55.2% | 0.19 | 0.03 | 1.5x | 29 | 47% |
| ROC 모멘텀 Hold-like · Exposure 98% n=17, threshold=-0.11 |
1.4% | -53.7% | 0.18 | 0.03 | 1.4x | 37 | 98% |
| Parabolic SAR step=0.005, maxStep=0.02 |
-0.6% | -49.8% | 0.07 | -0.01 | 0.9x | 93 | 47% |
| 볼린저 밴드 돌파 n=51, k=2.9 |
-1.4% | -61.8% | 0.00 | -0.02 | 0.7x | 63 | 23% |
| MACD fast=23, slow=53, signal=29 |
-3.7% | -73.5% | -0.07 | -0.05 | 0.4x | 200 | 49% |
| Keltner 채널 돌파 emaPeriod=55, atrPeriod=24, mult=2.1 |
-4.5% | -79.5% | -0.14 | -0.06 | 0.4x | 133 | 38% |
| Supertrend period=10, mult=5 |
-8.3% | -90.0% | -0.34 | -0.09 | 0.1x | 179 | 44% |
| Buy and hold | 1.5% | -51.0% | 0.19 | 0.03 | 1.4x | 1 | 100% |
Rules of the top strategy
Uses two exponential averages (more weight on recent prices) and trades their crossover.
- Buy — Buy when the 42-day EMA crosses above the 48-day EMA
- Sell — Sell when the 42-day EMA falls below the 48-day EMA