Trend-Following Backtester · Guide · backtest 한국어
equity · US
ChoiceOne Financial Services, Inc. backtest
10 trend-following strategies were compared on the full daily history of ChoiceOne Financial Services, Inc.. 0 beat buy-and-hold CAGR; SMA 크로스오버 ranks first by Sharpe, matching the main backtester.
Results by strategy
0 of 10 beat buy and hold (CAGR 4.4%, drawdown -77.5%).
Sharpe leader (same as main): SMA 크로스오버 — CAGR 1.3%, MDD -55.9%, Sharpe 0.19, 55% exposure.
CAGR reference leader: Donchian 채널 돌파 — CAGR 1.5%, MDD -52.7%, exposure 47%.
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 |
|---|---|---|---|---|---|---|---|
| SMA 크로스오버 fast=38, slow=89 |
1.3% | -55.9% | 0.19 | 0.02 | 1.4x | 79 | 55% |
| Donchian 채널 돌파 entryN=105, exitN=65 |
1.5% | -52.7% | 0.18 | 0.03 | 1.4x | 39 | 47% |
| ADX / DI 방향성 period=63, threshold=21 |
1.1% | -26.4% | 0.18 | 0.04 | 1.3x | 10 | 12% |
| EMA 크로스오버 fast=36, slow=116 |
-0.6% | -65.7% | 0.11 | -0.01 | 0.8x | 67 | 58% |
| ROC 모멘텀 n=131, threshold=-0.04 |
-3.1% | -75.7% | 0.03 | -0.04 | 0.4x | 211 | 69% |
| 볼린저 밴드 돌파 n=57, k=3.4 |
-2.5% | -72.2% | -0.10 | -0.03 | 0.5x | 36 | 13% |
| Parabolic SAR step=0.005, maxStep=0.26 |
-8.1% | -89.9% | -0.13 | -0.09 | 0.1x | 146 | 55% |
| Keltner 채널 돌파 emaPeriod=59, atrPeriod=9, mult=4 |
-10.1% | -93.3% | -0.39 | -0.11 | 0.1x | 120 | 30% |
| Supertrend period=7, mult=4.9 |
-18.5% | -99.6% | -0.53 | -0.19 | 0.0x | 247 | 55% |
| MACD fast=15, slow=30, signal=12 |
-20.6% | -99.7% | -0.64 | -0.21 | 0.0x | 460 | 48% |
| Buy and hold | 4.4% | -77.5% | 0.31 | 0.06 | 3.0x | 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 38-day average price crosses above the 89-day average
- Sell — Sell (to cash) when the 38-day average falls below the 89-day average