Trend-Following Backtester · Guide · backtest 한국어
equity · US
City Holding Company backtest
10 trend-following strategies were compared on the full daily history of City Holding Company. 0 beat buy-and-hold CAGR; SMA 크로스오버 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is SMA 크로스오버 (CAGR 5.7%, MDD -37.5%).
Results by strategy
0 of 10 beat buy and hold (CAGR 7.0%, drawdown -90.2%).
Sharpe leader (same as main): SMA 크로스오버 — CAGR 5.7%, MDD -37.5%, Sharpe 0.33, 58% exposure.
Return/drawdown alternative: SMA 크로스오버 — CAGR is 1.3%p lower than buy and hold, while drawdown improves by 52.7%p (CAGR 5.7%, MDD -37.5%, 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 |
|---|---|---|---|---|---|---|---|
| SMA 크로스오버 fast=39, slow=134 |
5.7% | -37.5% | 0.33 | 0.15 | 8.7x | 83 | 58% |
| EMA 크로스오버 fast=64, slow=194 |
4.8% | -61.1% | 0.30 | 0.08 | 6.2x | 57 | 67% |
| Donchian 채널 돌파 entryN=74, exitN=100 |
3.3% | -71.1% | 0.26 | 0.05 | 3.5x | 49 | 68% |
| ROC 모멘텀 n=148, threshold=-0.12 |
1.8% | -75.4% | 0.23 | 0.02 | 2.0x | 233 | 84% |
| ADX / DI 방향성 period=67, threshold=14 |
2.0% | -37.6% | 0.20 | 0.05 | 2.2x | 26 | 10% |
| Supertrend period=25, mult=5 |
-4.2% | -94.7% | 0.03 | -0.04 | 0.2x | 133 | 57% |
| 볼린저 밴드 돌파 n=14, k=3.5 |
-1.2% | -68.9% | -0.03 | -0.02 | 0.6x | 12 | 1% |
| Parabolic SAR step=0.005, maxStep=0.12 |
-8.0% | -98.5% | -0.11 | -0.08 | 0.0x | 319 | 52% |
| Keltner 채널 돌파 emaPeriod=49, atrPeriod=27, mult=4 |
-6.6% | -95.3% | -0.24 | -0.07 | 0.1x | 83 | 12% |
| MACD fast=17, slow=50, signal=19 |
-23.2% | -100.0% | -0.61 | -0.23 | 0.0x | 569 | 49% |
| Buy and hold | 7.0% | -90.2% | 0.37 | 0.08 | 13.9x | 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 39-day average price crosses above the 134-day average
- Sell — Sell (to cash) when the 39-day average falls below the 134-day average