Trend-Following Backtester · Guide · backtest 한국어
equity · US
Eagle Bancorp, Inc. backtest
10 trend-following strategies were compared on the full daily history of Eagle Bancorp, Inc.. 2 beat buy-and-hold CAGR; SMA 크로스오버 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is EMA 크로스오버 (CAGR 10.9%, MDD -48.4%).
Results by strategy
2 of 10 beat buy and hold (CAGR 8.5%, drawdown -77.1%).
Sharpe leader (same as main): SMA 크로스오버 — CAGR 11.1%, MDD -53.9%, Sharpe 0.52, 61% exposure.
Return/drawdown alternative: EMA 크로스오버 — CAGR is 2.6%p higher than buy and hold, while drawdown improves by 23.2%p (CAGR 10.9%, MDD -48.4%, exposure 63%).
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=56, slow=217 |
11.1% | -53.9% | 0.52 | 0.21 | 17.2x | 25 | 61% |
| EMA 크로스오버 fast=54, slow=200 |
10.9% | -48.4% | 0.51 | 0.22 | 16.4x | 31 | 63% |
| Donchian 채널 돌파 entryN=22, exitN=79 |
6.8% | -75.9% | 0.36 | 0.09 | 5.9x | 63 | 80% |
| ROC 모멘텀 n=63, threshold=-0.14 |
4.7% | -79.4% | 0.31 | 0.06 | 3.5x | 153 | 87% |
| ADX / DI 방향성 period=48, threshold=11 |
1.6% | -55.5% | 0.18 | 0.03 | 1.5x | 142 | 36% |
| Supertrend period=12, mult=4.8 |
0.6% | -71.0% | 0.17 | 0.01 | 1.2x | 103 | 57% |
| Parabolic SAR step=0.005, maxStep=0.06 |
-0.8% | -77.1% | 0.11 | -0.01 | 0.8x | 194 | 53% |
| 볼린저 밴드 돌파 n=54, k=3.2 |
0.3% | -59.3% | 0.10 | 0.00 | 1.1x | 44 | 16% |
| Keltner 채널 돌파 emaPeriod=54, atrPeriod=16, mult=2.2 |
-1.1% | -62.9% | 0.07 | -0.02 | 0.7x | 132 | 37% |
| MACD fast=16, slow=58, signal=15 |
-4.2% | -86.9% | -0.01 | -0.05 | 0.3x | 326 | 49% |
| Buy and hold | 8.5% | -77.1% | 0.41 | 0.11 | 9.2x | 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 56-day average price crosses above the 217-day average
- Sell — Sell (to cash) when the 56-day average falls below the 217-day average