Trend-Following Backtester · Guide · backtest 한국어
equity · US
CF Bankshares Inc. backtest
10 trend-following strategies were compared on the full daily history of CF Bankshares Inc.. 6 beat buy-and-hold CAGR; Donchian 채널 돌파 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is Donchian 채널 돌파 (CAGR -0.7%, MDD -70.3%).
Results by strategy
6 of 10 beat buy and hold (CAGR -7.5%, drawdown -98.7%).
Sharpe leader (same as main): Donchian 채널 돌파 — CAGR -0.7%, MDD -70.3%, Sharpe 0.08, 21% exposure.
Return/drawdown alternative: Donchian 채널 돌파 — CAGR is 6.8%p higher than buy and hold, while drawdown improves by 28.4%p (CAGR -0.7%, MDD -70.3%, exposure 21%).
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 |
|---|---|---|---|---|---|---|---|
| Donchian 채널 돌파 entryN=112, exitN=26 |
-0.7% | -70.3% | 0.08 | -0.01 | 0.8x | 45 | 21% |
| SMA 크로스오버 fast=58, slow=220 |
-2.2% | -78.5% | 0.07 | -0.03 | 0.5x | 37 | 41% |
| EMA 크로스오버 fast=51, slow=90 |
-3.7% | -91.8% | 0.04 | -0.04 | 0.4x | 51 | 43% |
| ADX / DI 방향성 period=9, threshold=38 |
-2.7% | -79.6% | 0.03 | -0.03 | 0.5x | 209 | 15% |
| Keltner 채널 돌파 emaPeriod=46, atrPeriod=9, mult=3.1 |
-2.4% | -79.4% | 0.02 | -0.03 | 0.5x | 91 | 19% |
| 볼린저 밴드 돌파 n=54, k=3.4 |
-3.5% | -83.2% | -0.08 | -0.04 | 0.4x | 48 | 15% |
| Parabolic SAR step=0.01, maxStep=0.34 |
-12.5% | -99.4% | -0.11 | -0.13 | 0.0x | 297 | 48% |
| Supertrend period=12, mult=5 |
-12.9% | -99.5% | -0.16 | -0.13 | 0.0x | 115 | 48% |
| MACD fast=18, slow=39, signal=19 |
-16.4% | -99.8% | -0.19 | -0.16 | 0.0x | 345 | 51% |
| ROC 모멘텀 n=61, threshold=0.16 |
-13.1% | -98.1% | -0.37 | -0.13 | 0.0x | 249 | 13% |
| Buy and hold | -7.5% | -98.7% | 0.19 | -0.08 | 0.1x | 1 | 100% |
Rules of the top strategy
A new high means a trend starting; a new low means it’s over (turtle-trading style).
- Buy — Buy on a breakout above the highest high of the last 112 days
- Sell — Sell when price breaks below the lowest low of the last 26 days