Trend-Following Backtester · Guide · backtest 한국어
equity · US
Capital City Bank Group backtest
10 trend-following strategies were compared on the full daily history of Capital City Bank Group. 0 beat buy-and-hold CAGR; ROC 모멘텀 ranks first by Sharpe, matching the main backtester. Its 98% market exposure makes it hold-like. The return/drawdown alternative is SMA 크로스오버 (CAGR 5.2%, MDD -59.8%).
Results by strategy
0 of 10 beat buy and hold (CAGR 6.9%, drawdown -83.4%).
Sharpe leader (same as main): ROC 모멘텀 — CAGR 6.3%, MDD -78.2%, Sharpe 0.34, 98% exposure. With at least 95% exposure, it should be treated as hold-like, not strong evidence of timing skill.
Return/drawdown alternative: SMA 크로스오버 — CAGR is 0.6%p lower than buy and hold, while drawdown improves by 5.3%p (CAGR 5.2%, MDD -59.8%, exposure 58%).
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 Hold-like · Exposure 98% n=12, threshold=-0.13 |
6.3% | -78.2% | 0.34 | 0.08 | 7.2x | 95 | 98% |
| SMA 크로스오버 fast=47, slow=285 |
5.2% | -59.8% | 0.31 | 0.09 | 5.1x | 41 | 58% |
| Donchian 채널 돌파 entryN=117, exitN=77 |
3.8% | -72.7% | 0.26 | 0.05 | 3.3x | 37 | 54% |
| EMA 크로스오버 fast=44, slow=66 |
3.6% | -60.2% | 0.26 | 0.06 | 3.1x | 93 | 60% |
| Keltner 채널 돌파 emaPeriod=9, atrPeriod=21, mult=3.9 |
2.4% | -9.8% | 0.23 | 0.24 | 2.1x | 6 | 8% |
| ADX / DI 방향성 period=37, threshold=33 |
2.3% | -9.8% | 0.22 | 0.24 | 2.1x | 2 | 8% |
| 볼린저 밴드 돌파 n=41, k=3.5 |
2.4% | -39.5% | 0.21 | 0.06 | 2.2x | 36 | 15% |
| Supertrend period=11, mult=4.5 |
-1.0% | -79.4% | 0.09 | -0.01 | 0.7x | 85 | 56% |
| Parabolic SAR step=0.005, maxStep=0.38 |
-5.2% | -95.0% | -0.06 | -0.06 | 0.2x | 253 | 56% |
| MACD fast=15, slow=40, signal=18 |
-9.4% | -97.4% | -0.25 | -0.10 | 0.0x | 411 | 48% |
| Buy and hold | 6.9% | -83.4% | 0.36 | 0.08 | 8.6x | 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 12-day return is greater than -13%
- Sell — Sell when the 12-day return drops to -13% or below