Trend-Following Backtester · Guide · backtest 한국어
equity · US
Capital Bancorp, Inc. backtest
10 trend-following strategies were compared on the full daily history of Capital Bancorp, Inc.. 4 beat buy-and-hold CAGR; SMA 크로스오버 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is SMA 크로스오버 (CAGR 18.1%, MDD -22.7%).
Results by strategy
4 of 10 beat buy and hold (CAGR 14.5%, drawdown -53.7%).
Sharpe leader (same as main): SMA 크로스오버 — CAGR 18.1%, MDD -22.7%, Sharpe 0.86, 56% exposure.
Return/drawdown alternative: SMA 크로스오버 — CAGR is 3.5%p higher than buy and hold, while drawdown improves by 31.0%p (CAGR 18.1%, MDD -22.7%, 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 |
|---|---|---|---|---|---|---|---|
| SMA 크로스오버 fast=54, slow=81 |
18.1% | -22.7% | 0.86 | 0.80 | 3.7x | 27 | 56% |
| EMA 크로스오버 fast=23, slow=74 |
17.0% | -23.0% | 0.81 | 0.74 | 3.4x | 19 | 59% |
| Donchian 채널 돌파 entryN=49, exitN=78 |
16.1% | -31.3% | 0.75 | 0.51 | 3.2x | 11 | 67% |
| ROC 모멘텀 n=80, threshold=-0.03 |
15.0% | -29.6% | 0.69 | 0.51 | 3.0x | 79 | 67% |
| Supertrend period=8, mult=3.4 |
13.9% | -28.2% | 0.68 | 0.49 | 2.8x | 29 | 55% |
| Keltner 채널 돌파 emaPeriod=56, atrPeriod=18, mult=1.4 |
12.0% | -23.5% | 0.67 | 0.51 | 2.4x | 35 | 42% |
| ADX / DI 방향성 period=25, threshold=39 |
4.9% | -8.1% | 0.67 | 0.61 | 1.5x | 2 | 3% |
| 볼린저 밴드 돌파 n=56, k=2 |
7.8% | -29.0% | 0.51 | 0.27 | 1.8x | 29 | 35% |
| MACD fast=19, slow=26, signal=16 |
2.8% | -62.8% | 0.24 | 0.05 | 1.2x | 105 | 50% |
| Parabolic SAR step=0.015, maxStep=0.34 |
2.4% | -56.5% | 0.22 | 0.04 | 1.2x | 129 | 52% |
| Buy and hold | 14.5% | -53.7% | 0.51 | 0.27 | 2.9x | 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 81-day average
- Sell — Sell (to cash) when the 54-day average falls below the 81-day average