Trend-Following Backtester · Guide · backtest 한국어
equity · US
First Community Corporation backtest
10 trend-following strategies were compared on the full daily history of First Community Corporation. 2 beat buy-and-hold CAGR; EMA 크로스오버 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is EMA 크로스오버 (CAGR 4.4%, MDD -46.9%).
Results by strategy
2 of 10 beat buy and hold (CAGR 3.2%, drawdown -79.6%).
Sharpe leader (same as main): EMA 크로스오버 — CAGR 4.4%, MDD -46.9%, Sharpe 0.31, 53% exposure.
Return/drawdown alternative: EMA 크로스오버 — CAGR is 1.2%p higher than buy and hold, while drawdown improves by 32.7%p (CAGR 4.4%, MDD -46.9%, exposure 53%).
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 |
|---|---|---|---|---|---|---|---|
| EMA 크로스오버 fast=30, slow=215 |
4.4% | -46.9% | 0.31 | 0.09 | 3.2x | 23 | 53% |
| SMA 크로스오버 fast=22, slow=73 |
4.0% | -49.5% | 0.28 | 0.08 | 2.9x | 109 | 51% |
| Donchian 채널 돌파 entryN=81, exitN=53 |
2.8% | -42.5% | 0.24 | 0.06 | 2.1x | 41 | 43% |
| ROC 모멘텀 n=76, threshold=-0.15 |
-3.4% | -92.8% | 0.05 | -0.04 | 0.4x | 133 | 92% |
| 볼린저 밴드 돌파 n=58, k=3.5 |
-0.3% | -38.2% | 0.04 | -0.01 | 0.9x | 36 | 12% |
| ADX / DI 방향성 period=39, threshold=25 |
-0.1% | -18.3% | 0.00 | -0.01 | 1.0x | 14 | 4% |
| Parabolic SAR step=0.005, maxStep=0.34 |
-4.3% | -81.1% | -0.05 | -0.05 | 0.3x | 195 | 49% |
| Keltner 채널 돌파 emaPeriod=44, atrPeriod=13, mult=4 |
-2.3% | -49.3% | -0.12 | -0.05 | 0.5x | 50 | 13% |
| Supertrend period=28, mult=5 |
-6.6% | -89.4% | -0.18 | -0.07 | 0.2x | 101 | 52% |
| MACD fast=19, slow=43, signal=20 |
-14.7% | -99.0% | -0.48 | -0.15 | 0.0x | 337 | 50% |
| Buy and hold | 3.2% | -79.6% | 0.27 | 0.04 | 2.4x | 1 | 100% |
Rules of the top strategy
Uses two exponential averages (more weight on recent prices) and trades their crossover.
- Buy — Buy when the 30-day EMA crosses above the 215-day EMA
- Sell — Sell when the 30-day EMA falls below the 215-day EMA