Trend-Following Backtester · Guide · backtest 한국어
equity · US
Community West Bancshares backtest
10 trend-following strategies were compared on the full daily history of Community West Bancshares. 1 beat buy-and-hold CAGR; SMA 크로스오버 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is Donchian 채널 돌파 (CAGR 4.7%, MDD -48.2%).
Results by strategy
1 of 10 beat buy and hold (CAGR 5.8%, drawdown -79.2%).
Sharpe leader (same as main): SMA 크로스오버 — CAGR 6.0%, MDD -66.9%, Sharpe 0.34, 61% exposure.
Return/drawdown alternative: Donchian 채널 돌파 — CAGR is 0.2%p higher than buy and hold, while drawdown improves by 12.3%p (CAGR 4.7%, MDD -48.2%, 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=286 |
6.0% | -66.9% | 0.34 | 0.09 | 4.9x | 27 | 61% |
| Donchian 채널 돌파 entryN=107, exitN=77 |
4.7% | -48.2% | 0.31 | 0.10 | 3.6x | 31 | 54% |
| EMA 크로스오버 fast=52, slow=107 |
4.6% | -47.1% | 0.30 | 0.10 | 3.4x | 47 | 59% |
| ROC 모멘텀 n=174, threshold=-0.11 |
2.7% | -68.1% | 0.24 | 0.04 | 2.1x | 151 | 78% |
| ADX / DI 방향성 period=37, threshold=26 |
1.0% | -28.8% | 0.14 | 0.04 | 1.3x | 18 | 6% |
| Parabolic SAR step=0.005, maxStep=0.2 |
-1.7% | -89.1% | 0.10 | -0.02 | 0.6x | 166 | 55% |
| 볼린저 밴드 돌파 n=77, k=2.2 |
-2.0% | -75.0% | 0.01 | -0.03 | 0.6x | 75 | 31% |
| Supertrend period=16, mult=5 |
-7.4% | -95.1% | -0.07 | -0.08 | 0.1x | 125 | 56% |
| Keltner 채널 돌파 emaPeriod=58, atrPeriod=23, mult=3.4 |
-4.5% | -78.1% | -0.12 | -0.06 | 0.3x | 92 | 26% |
| MACD fast=20, slow=23, signal=25 |
-17.2% | -99.8% | -0.43 | -0.17 | 0.0x | 390 | 49% |
| Buy and hold | 5.8% | -79.2% | 0.35 | 0.07 | 4.7x | 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 286-day average
- Sell — Sell (to cash) when the 41-day average falls below the 286-day average