Trend-Following Backtester · Guide · backtest 한국어
equity · US
First Community Bankshares, Inc. backtest
10 trend-following strategies were compared on the full daily history of First Community Bankshares, 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 -80.8%).
Sharpe leader (same as main): SMA 크로스오버 — CAGR 2.9%, MDD -60.5%, Sharpe 0.24, 56% 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 |
|---|---|---|---|---|---|---|---|
| SMA 크로스오버 fast=49, slow=84 |
2.9% | -60.5% | 0.24 | 0.05 | 2.5x | 105 | 56% |
| Donchian 채널 돌파 entryN=97, exitN=75 |
2.7% | -57.3% | 0.23 | 0.05 | 2.3x | 49 | 52% |
| ADX / DI 방향성 period=39, threshold=15 |
1.6% | -44.1% | 0.18 | 0.04 | 1.7x | 92 | 20% |
| EMA 크로스오버 fast=57, slow=216 |
1.2% | -87.4% | 0.17 | 0.01 | 1.5x | 47 | 63% |
| 볼린저 밴드 돌파 n=33, k=3.5 |
0.8% | -27.6% | 0.13 | 0.03 | 1.3x | 30 | 6% |
| Supertrend period=16, mult=4.7 |
-0.3% | -72.3% | 0.11 | -0.00 | 0.9x | 111 | 58% |
| Parabolic SAR step=0.005, maxStep=0.28 |
-4.8% | -90.7% | -0.06 | -0.05 | 0.2x | 281 | 54% |
| Keltner 채널 돌파 emaPeriod=29, atrPeriod=19, mult=3.8 |
-1.3% | -50.6% | -0.08 | -0.02 | 0.7x | 56 | 9% |
| ROC 모멘텀 n=142, threshold=-0.01 |
-5.5% | -91.2% | -0.12 | -0.06 | 0.2x | 351 | 60% |
| MACD fast=32, slow=69, signal=40 |
-7.4% | -95.7% | -0.18 | -0.08 | 0.1x | 249 | 52% |
| Buy and hold | 4.4% | -80.8% | 0.30 | 0.05 | 4.0x | 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 49-day average price crosses above the 84-day average
- Sell — Sell (to cash) when the 49-day average falls below the 84-day average