Trend-Following Backtester · Guide · backtest 한국어
equity · US
CNB Financial Corporation backtest
10 trend-following strategies were compared on the full daily history of CNB Financial Corporation. 1 beat buy-and-hold CAGR; SMA 크로스오버 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is SMA 크로스오버 (CAGR 6.5%, MDD -40.4%).
Results by strategy
1 of 10 beat buy and hold (CAGR 6.1%, drawdown -58.7%).
Sharpe leader (same as main): SMA 크로스오버 — CAGR 6.5%, MDD -40.4%, Sharpe 0.39, 56% exposure.
Return/drawdown alternative: SMA 크로스오버 — CAGR is 0.4%p higher than buy and hold, while drawdown improves by 18.3%p (CAGR 6.5%, MDD -40.4%, 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=46, slow=136 |
6.5% | -40.4% | 0.39 | 0.16 | 7.6x | 69 | 56% |
| Donchian 채널 돌파 entryN=60, exitN=76 |
5.3% | -52.6% | 0.34 | 0.10 | 5.3x | 51 | 64% |
| EMA 크로스오버 fast=60, slow=90 |
2.8% | -68.6% | 0.24 | 0.04 | 2.5x | 73 | 57% |
| ADX / DI 방향성 period=42, threshold=24 |
1.0% | -13.0% | 0.20 | 0.08 | 1.4x | 14 | 5% |
| 볼린저 밴드 돌파 n=35, k=3.3 |
0.3% | -22.9% | 0.08 | 0.01 | 1.1x | 40 | 8% |
| ROC 모멘텀 n=145, threshold=0.03 |
-3.3% | -91.7% | -0.05 | -0.04 | 0.3x | 317 | 49% |
| Keltner 채널 돌파 emaPeriod=37, atrPeriod=29, mult=4 |
-1.5% | -57.1% | -0.07 | -0.03 | 0.6x | 74 | 13% |
| Parabolic SAR step=0.005, maxStep=0.36 |
-4.7% | -89.8% | -0.09 | -0.05 | 0.2x | 241 | 54% |
| Supertrend period=15, mult=4.9 |
-4.6% | -86.4% | -0.10 | -0.05 | 0.2x | 159 | 58% |
| MACD fast=19, slow=29, signal=14 |
-12.4% | -99.0% | -0.48 | -0.13 | 0.0x | 537 | 51% |
| Buy and hold | 6.1% | -58.7% | 0.34 | 0.10 | 6.7x | 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 46-day average price crosses above the 136-day average
- Sell — Sell (to cash) when the 46-day average falls below the 136-day average