Trend-Following Backtester · Guide · backtest 한국어
equity · US
Citizens & Northern Corp backtest
10 trend-following strategies were compared on the full daily history of Citizens & Northern Corp. 1 beat buy-and-hold CAGR; SMA 크로스오버 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is SMA 크로스오버 (CAGR 2.8%, MDD -60.7%).
Results by strategy
1 of 10 beat buy and hold (CAGR 2.6%, drawdown -77.5%).
Sharpe leader (same as main): SMA 크로스오버 — CAGR 2.8%, MDD -60.7%, Sharpe 0.24, 55% exposure.
Return/drawdown alternative: SMA 크로스오버 — CAGR is 0.2%p higher than buy and hold, while drawdown improves by 16.8%p (CAGR 2.8%, MDD -60.7%, exposure 55%).
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=33, slow=246 |
2.8% | -60.7% | 0.24 | 0.05 | 2.5x | 51 | 55% |
| ADX / DI 방향성 period=34, threshold=32 |
0.9% | -13.1% | 0.23 | 0.07 | 1.4x | 8 | 3% |
| EMA 크로스오버 fast=59, slow=166 |
1.0% | -77.1% | 0.17 | 0.01 | 1.4x | 49 | 58% |
| Donchian 채널 돌파 entryN=28, exitN=132 |
-0.7% | -81.1% | 0.13 | -0.01 | 0.8x | 49 | 83% |
| ROC 모멘텀 n=113, threshold=-0.04 |
-10.1% | -98.4% | -0.25 | -0.10 | 0.0x | 395 | 69% |
| 볼린저 밴드 돌파 n=37, k=3.3 |
-2.9% | -61.0% | -0.28 | -0.05 | 0.4x | 46 | 7% |
| Keltner 채널 돌파 emaPeriod=72, atrPeriod=20, mult=4 |
-5.6% | -84.6% | -0.34 | -0.07 | 0.2x | 81 | 21% |
| Parabolic SAR step=0.01, maxStep=0.32 |
-11.0% | -98.2% | -0.34 | -0.11 | 0.0x | 393 | 54% |
| Supertrend period=13, mult=5 |
-13.0% | -99.1% | -0.41 | -0.13 | 0.0x | 163 | 55% |
| MACD fast=17, slow=58, signal=17 |
-16.8% | -99.8% | -0.64 | -0.17 | 0.0x | 437 | 50% |
| Buy and hold | 2.6% | -77.5% | 0.25 | 0.03 | 2.3x | 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 33-day average price crosses above the 246-day average
- Sell — Sell (to cash) when the 33-day average falls below the 246-day average