Trend-Following Backtester · Guide · backtest 한국어
equity · US
Cathay General Bancorp backtest
10 trend-following strategies were compared on the full daily history of Cathay General Bancorp. 1 beat buy-and-hold CAGR; EMA 크로스오버 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is EMA 크로스오버 (CAGR 8.5%, MDD -50.8%).
Results by strategy
1 of 10 beat buy and hold (CAGR 8.0%, drawdown -81.8%).
Sharpe leader (same as main): EMA 크로스오버 — CAGR 8.5%, MDD -50.8%, Sharpe 0.44, 67% exposure.
Return/drawdown alternative: EMA 크로스오버 — CAGR is 0.5%p higher than buy and hold, while drawdown improves by 31.1%p (CAGR 8.5%, MDD -50.8%, exposure 67%).
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=78, slow=338 |
8.5% | -50.8% | 0.44 | 0.17 | 18.5x | 17 | 67% |
| SMA 크로스오버 fast=51, slow=119 |
6.1% | -53.9% | 0.35 | 0.11 | 8.2x | 89 | 56% |
| Donchian 채널 돌파 entryN=156, exitN=56 |
4.9% | -45.9% | 0.33 | 0.11 | 5.4x | 43 | 38% |
| Keltner 채널 돌파 emaPeriod=85, atrPeriod=16, mult=3.6 |
2.4% | -48.0% | 0.22 | 0.05 | 2.3x | 75 | 29% |
| Supertrend period=29, mult=3.7 |
1.3% | -71.9% | 0.19 | 0.02 | 1.6x | 173 | 53% |
| 볼린저 밴드 돌파 n=42, k=3.5 |
1.3% | -30.9% | 0.17 | 0.04 | 1.6x | 36 | 9% |
| Parabolic SAR step=0.005, maxStep=0.26 |
-0.4% | -76.1% | 0.14 | -0.00 | 0.9x | 293 | 55% |
| ADX / DI 방향성 period=23, threshold=29 |
0.7% | -43.7% | 0.12 | 0.02 | 1.3x | 44 | 6% |
| MACD fast=46, slow=57, signal=30 |
-5.7% | -97.2% | -0.04 | -0.06 | 0.1x | 263 | 52% |
| ROC 모멘텀 n=133, threshold=0.02 |
-8.9% | -97.4% | -0.20 | -0.09 | 0.0x | 481 | 54% |
| Buy and hold | 8.0% | -81.8% | 0.39 | 0.10 | 15.5x | 1 | 100% |
Rules of the top strategy
Uses two exponential averages (more weight on recent prices) and trades their crossover.
- Buy — Buy when the 78-day EMA crosses above the 338-day EMA
- Sell — Sell when the 78-day EMA falls below the 338-day EMA