Trend-Following Backtester · Guide · backtest 한국어
equity · US
Civista Bancshares, Inc. backtest
10 trend-following strategies were compared on the full daily history of Civista Bancshares, Inc.. 0 beat buy-and-hold CAGR; EMA 크로스오버 ranks first by Sharpe, matching the main backtester.
Results by strategy
0 of 10 beat buy and hold (CAGR 1.9%, drawdown -92.1%).
Sharpe leader (same as main): EMA 크로스오버 — CAGR 1.9%, MDD -75.2%, Sharpe 0.24, 51% exposure.
No strategy retained at least 75% of buy-and-hold CAGR while reducing drawdown by both 20% relatively and 5 percentage points absolutely.
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 |
|---|---|---|---|---|---|---|---|
| EMA 크로스오버 fast=71, slow=214 |
1.9% | -75.2% | 0.24 | 0.03 | 1.8x | 25 | 51% |
| Donchian 채널 돌파 entryN=12, exitN=124 |
1.2% | -92.6% | 0.21 | 0.01 | 1.5x | 77 | 85% |
| SMA 크로스오버 fast=23, slow=146 |
0.0% | -78.7% | 0.17 | 0.00 | 1.0x | 59 | 52% |
| Keltner 채널 돌파 emaPeriod=19, atrPeriod=9, mult=3.8 |
0.9% | -32.8% | 0.15 | 0.03 | 1.3x | 46 | 11% |
| 볼린저 밴드 돌파 n=46, k=2.8 |
-1.9% | -75.3% | 0.06 | -0.02 | 0.5x | 72 | 23% |
| ADX / DI 방향성 period=37, threshold=38 |
-2.4% | -75.2% | -0.03 | -0.03 | 0.5x | 4 | 8% |
| ROC 모멘텀 n=126, threshold=0.13 |
-1.7% | -71.4% | -0.04 | -0.02 | 0.6x | 219 | 23% |
| Parabolic SAR step=0.005, maxStep=0.24 |
-8.2% | -96.9% | -0.12 | -0.08 | 0.1x | 233 | 52% |
| MACD fast=13, slow=37, signal=13 |
-15.1% | -99.9% | -0.13 | -0.15 | 0.0x | 612 | 47% |
| Supertrend period=9, mult=4.9 |
-8.0% | -98.1% | -0.13 | -0.08 | 0.1x | 125 | 56% |
| Buy and hold | 1.9% | -92.1% | 0.24 | 0.02 | 1.9x | 1 | 100% |
Rules of the top strategy
Uses two exponential averages (more weight on recent prices) and trades their crossover.
- Buy — Buy when the 71-day EMA crosses above the 214-day EMA
- Sell — Sell when the 71-day EMA falls below the 214-day EMA