Trend-Following Backtester · Guide · backtest 한국어
equity · US
Chemung Financial Corp backtest
10 trend-following strategies were compared on the full daily history of Chemung Financial Corp. 0 beat buy-and-hold CAGR; SMA 크로스오버 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is SMA 크로스오버 (CAGR 3.7%, MDD -42.1%).
Results by strategy
0 of 10 beat buy and hold (CAGR 3.9%, drawdown -59.1%).
Sharpe leader (same as main): SMA 크로스오버 — CAGR 3.7%, MDD -42.1%, Sharpe 0.28, 54% exposure.
Return/drawdown alternative: SMA 크로스오버 — CAGR is 0.2%p lower than buy and hold, while drawdown improves by 17.0%p (CAGR 3.7%, MDD -42.1%, exposure 54%).
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=41, slow=256 |
3.7% | -42.1% | 0.28 | 0.09 | 2.7x | 35 | 54% |
| EMA 크로스오버 fast=55, slow=123 |
3.4% | -40.7% | 0.27 | 0.08 | 2.5x | 37 | 54% |
| Donchian 채널 돌파 entryN=107, exitN=54 |
2.6% | -40.2% | 0.23 | 0.06 | 2.0x | 35 | 42% |
| ADX / DI 방향성 period=30, threshold=33 |
0.3% | -17.4% | 0.08 | 0.02 | 1.1x | 17 | 5% |
| Parabolic SAR step=0.005, maxStep=0.38 |
-3.3% | -76.7% | -0.05 | -0.04 | 0.4x | 181 | 50% |
| 볼린저 밴드 돌파 n=47, k=3 |
-1.8% | -68.2% | -0.07 | -0.03 | 0.6x | 69 | 15% |
| Supertrend period=16, mult=5 |
-5.3% | -89.4% | -0.10 | -0.06 | 0.2x | 139 | 57% |
| ROC 모멘텀 n=118, threshold=0.13 |
-2.4% | -69.8% | -0.13 | -0.03 | 0.5x | 211 | 19% |
| MACD fast=31, slow=59, signal=30 |
-5.5% | -86.1% | -0.14 | -0.06 | 0.2x | 217 | 51% |
| Keltner 채널 돌파 emaPeriod=32, atrPeriod=24, mult=4 |
-3.0% | -70.0% | -0.19 | -0.04 | 0.4x | 75 | 12% |
| Buy and hold | 3.9% | -59.1% | 0.28 | 0.07 | 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 41-day average price crosses above the 256-day average
- Sell — Sell (to cash) when the 41-day average falls below the 256-day average