Trend-Following Backtester · Guide · backtest 한국어
equity · US
Carter Bankshares, Inc. backtest
10 trend-following strategies were compared on the full daily history of Carter Bankshares, Inc.. 6 beat buy-and-hold CAGR; ROC 모멘텀 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is EMA 크로스오버 (CAGR 8.9%, MDD -30.9%).
Results by strategy
6 of 10 beat buy and hold (CAGR 5.0%, drawdown -73.4%).
Sharpe leader (same as main): ROC 모멘텀 — CAGR 9.5%, MDD -36.1%, Sharpe 0.52, 67% exposure.
CAGR reference leader: Donchian 채널 돌파 — CAGR 9.7%, MDD -40.7%, exposure 71%.
Return/drawdown alternative: EMA 크로스오버 — CAGR is 4.4%p higher than buy and hold, while drawdown improves by 37.3%p (CAGR 8.9%, MDD -30.9%, exposure 56%).
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 |
|---|---|---|---|---|---|---|---|
| ROC 모멘텀 n=129, threshold=-0.02 |
9.5% | -36.1% | 0.52 | 0.26 | 5.8x | 107 | 67% |
| Donchian 채널 돌파 entryN=39, exitN=76 |
9.7% | -40.7% | 0.51 | 0.24 | 6.0x | 31 | 71% |
| EMA 크로스오버 fast=30, slow=33 |
8.9% | -30.9% | 0.50 | 0.29 | 5.2x | 87 | 56% |
| Supertrend period=10, mult=4.4 |
8.8% | -58.3% | 0.49 | 0.15 | 5.1x | 73 | 60% |
| SMA 크로스오버 fast=17, slow=81 |
8.3% | -42.9% | 0.48 | 0.19 | 4.7x | 67 | 54% |
| MACD fast=39, slow=73, signal=30 |
7.0% | -51.4% | 0.40 | 0.14 | 3.7x | 113 | 51% |
| Parabolic SAR step=0.015, maxStep=0.1 |
4.8% | -54.2% | 0.32 | 0.09 | 2.5x | 269 | 51% |
| Keltner 채널 돌파 emaPeriod=51, atrPeriod=24, mult=2.6 |
3.4% | -36.7% | 0.27 | 0.09 | 1.9x | 83 | 36% |
| 볼린저 밴드 돌파 n=49, k=1.5 |
2.4% | -38.9% | 0.22 | 0.06 | 1.6x | 123 | 40% |
| ADX / DI 방향성 period=39, threshold=25 |
0.3% | -32.3% | 0.08 | 0.01 | 1.1x | 25 | 8% |
| Buy and hold | 5.0% | -73.4% | 0.32 | 0.07 | 2.6x | 1 | 100% |
Rules of the top strategy
Rides the trend when recent return (momentum) over a window is above a threshold.
- Buy — Buy when the last 129-day return is greater than -2%
- Sell — Sell when the 129-day return drops to -2% or below