Trend-Following Backtester · Guide · backtest 한국어
equity · US
Bank of Marin Bancorp backtest
10 trend-following strategies were compared on the full daily history of Bank of Marin Bancorp. 0 beat buy-and-hold CAGR; EMA 크로스오버 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is EMA 크로스오버 (CAGR 5.4%, MDD -46.1%).
Results by strategy
0 of 10 beat buy and hold (CAGR 6.3%, drawdown -70.4%).
Sharpe leader (same as main): EMA 크로스오버 — CAGR 5.4%, MDD -46.1%, Sharpe 0.34, 70% exposure.
Return/drawdown alternative: EMA 크로스오버 — CAGR is 0.9%p lower than buy and hold, while drawdown improves by 24.3%p (CAGR 5.4%, MDD -46.1%, exposure 70%).
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=46, slow=249 |
5.4% | -46.1% | 0.34 | 0.12 | 4.0x | 29 | 70% |
| Donchian 채널 돌파 entryN=16, exitN=75 |
3.5% | -61.2% | 0.26 | 0.06 | 2.5x | 65 | 81% |
| SMA 크로스오버 fast=38, slow=217 |
1.5% | -67.1% | 0.18 | 0.02 | 1.5x | 55 | 65% |
| MACD fast=28, slow=55, signal=35 |
0.8% | -60.9% | 0.14 | 0.01 | 1.2x | 185 | 50% |
| ADX / DI 방향성 period=35, threshold=16 |
0.2% | -64.0% | 0.09 | 0.00 | 1.1x | 108 | 31% |
| Parabolic SAR step=0.01, maxStep=0.38 |
-0.5% | -73.3% | 0.09 | -0.01 | 0.9x | 329 | 52% |
| Keltner 채널 돌파 emaPeriod=22, atrPeriod=9, mult=3.9 |
0.2% | -27.8% | 0.06 | 0.01 | 1.1x | 34 | 6% |
| 볼린저 밴드 돌파 n=54, k=3.5 |
-0.2% | -41.7% | 0.03 | -0.00 | 0.9x | 37 | 12% |
| Supertrend period=26, mult=5 |
-2.7% | -69.1% | -0.01 | -0.04 | 0.5x | 85 | 62% |
| ROC 모멘텀 n=123, threshold=-0.04 |
-3.7% | -87.0% | -0.03 | -0.04 | 0.4x | 261 | 73% |
| Buy and hold | 6.3% | -70.4% | 0.35 | 0.09 | 5.1x | 1 | 100% |
Rules of the top strategy
Uses two exponential averages (more weight on recent prices) and trades their crossover.
- Buy — Buy when the 46-day EMA crosses above the 249-day EMA
- Sell — Sell when the 46-day EMA falls below the 249-day EMA