Trend-Following Backtester · Guide · backtest 한국어
equity · US
Sierra Bancorp backtest
10 trend-following strategies were compared on the full daily history of Sierra 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 8.0%, MDD -58.2%).
Results by strategy
0 of 10 beat buy and hold (CAGR 9.0%, drawdown -82.6%).
Sharpe leader (same as main): EMA 크로스오버 — CAGR 8.0%, MDD -58.2%, Sharpe 0.41, 60% exposure.
Return/drawdown alternative: EMA 크로스오버 — CAGR is 1.0%p lower than buy and hold, while drawdown improves by 24.4%p (CAGR 8.0%, MDD -58.2%, exposure 60%).
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=59, slow=216 |
8.0% | -58.2% | 0.41 | 0.14 | 11.9x | 35 | 60% |
| Donchian 채널 돌파 entryN=5, exitN=105 |
7.5% | -84.7% | 0.36 | 0.09 | 10.3x | 93 | 92% |
| SMA 크로스오버 fast=53, slow=156 |
4.9% | -74.0% | 0.31 | 0.07 | 4.7x | 61 | 56% |
| 볼린저 밴드 돌파 n=114, k=2.7 |
2.6% | -61.9% | 0.23 | 0.04 | 2.3x | 50 | 23% |
| ROC 모멘텀 n=160, threshold=0.13 |
2.3% | -77.5% | 0.21 | 0.03 | 2.1x | 193 | 33% |
| Keltner 채널 돌파 emaPeriod=52, atrPeriod=10, mult=3.4 |
1.4% | -78.9% | 0.18 | 0.02 | 1.5x | 80 | 23% |
| ADX / DI 방향성 period=28, threshold=32 |
0.1% | -81.6% | 0.13 | 0.00 | 1.0x | 28 | 6% |
| Supertrend period=26, mult=4.9 |
-2.7% | -91.6% | 0.12 | -0.03 | 0.4x | 119 | 53% |
| Parabolic SAR step=0.005, maxStep=0.2 |
-4.4% | -95.1% | 0.09 | -0.05 | 0.2x | 261 | 54% |
| MACD fast=17, slow=55, signal=14 |
-4.0% | -90.4% | 0.02 | -0.04 | 0.3x | 398 | 50% |
| Buy and hold | 9.0% | -82.6% | 0.39 | 0.11 | 16.2x | 1 | 100% |
Rules of the top strategy
Uses two exponential averages (more weight on recent prices) and trades their crossover.
- Buy — Buy when the 59-day EMA crosses above the 216-day EMA
- Sell — Sell when the 59-day EMA falls below the 216-day EMA