Trend-Following Backtester · Guide · backtest 한국어
equity · US
Cass Information Systems, Inc backtest
10 trend-following strategies were compared on the full daily history of Cass Information Systems, Inc. 0 beat buy-and-hold CAGR; SMA 크로스오버 ranks first by Sharpe, matching the main backtester.
Results by strategy
0 of 10 beat buy and hold (CAGR 8.9%, drawdown -52.5%).
Sharpe leader (same as main): SMA 크로스오버 — CAGR 8.0%, MDD -47.6%, Sharpe 0.43, 60% exposure.
No strategy retained at least 75% of buy-and-hold CAGR while reducing drawdown by both 20% relatively and 5 percentage points absolutely.
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 |
|---|---|---|---|---|---|---|---|
| SMA 크로스오버 fast=54, slow=158 |
8.0% | -47.6% | 0.43 | 0.17 | 10.0x | 47 | 60% |
| Donchian 채널 돌파 entryN=13, exitN=87 |
4.1% | -55.2% | 0.28 | 0.07 | 3.3x | 87 | 84% |
| Keltner 채널 돌파 emaPeriod=12, atrPeriod=26, mult=4 |
1.2% | -23.2% | 0.22 | 0.05 | 1.4x | 36 | 4% |
| ROC 모멘텀 n=136, threshold=-0.14 |
1.7% | -76.6% | 0.20 | 0.02 | 1.6x | 153 | 88% |
| EMA 크로스오버 fast=69, slow=77 |
0.9% | -76.9% | 0.16 | 0.01 | 1.3x | 69 | 61% |
| 볼린저 밴드 돌파 n=21, k=3.5 |
0.3% | -21.8% | 0.08 | 0.01 | 1.1x | 26 | 4% |
| ADX / DI 방향성 period=26, threshold=34 |
0.2% | -12.3% | 0.07 | 0.02 | 1.1x | 14 | 2% |
| Supertrend period=13, mult=4.6 |
-3.6% | -85.6% | -0.04 | -0.04 | 0.3x | 139 | 51% |
| Parabolic SAR step=0.01, maxStep=0.22 |
-4.9% | -94.6% | -0.11 | -0.05 | 0.2x | 405 | 52% |
| MACD fast=16, slow=50, signal=15 |
-5.0% | -89.5% | -0.11 | -0.06 | 0.2x | 385 | 50% |
| Buy and hold | 8.9% | -52.5% | 0.42 | 0.17 | 12.8x | 1 | 100% |
Rules of the top strategy
When the short average rises above the long average, it reads that as an uptrend starting.
- Buy — Buy when the 54-day average price crosses above the 158-day average
- Sell — Sell (to cash) when the 54-day average falls below the 158-day average