Trend-Following Backtester · Guide · backtest 한국어
equity · US
First Citizens BancShares, Inc. backtest
10 trend-following strategies were compared on the full daily history of First Citizens BancShares, Inc.. 0 beat buy-and-hold CAGR; EMA 크로스오버 ranks first by Sharpe, matching the main backtester.
Results by strategy
0 of 10 beat buy and hold (CAGR 10.9%, drawdown -64.1%).
Sharpe leader (same as main): EMA 크로스오버 — CAGR 7.9%, MDD -41.8%, Sharpe 0.45, 66% 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 |
|---|---|---|---|---|---|---|---|
| EMA 크로스오버 fast=25, slow=261 |
7.9% | -41.8% | 0.45 | 0.19 | 20.7x | 49 | 66% |
| SMA 크로스오버 fast=48, slow=86 |
7.0% | -43.1% | 0.41 | 0.16 | 15.0x | 117 | 59% |
| Donchian 채널 돌파 entryN=69, exitN=69 |
6.3% | -52.7% | 0.38 | 0.12 | 11.3x | 71 | 58% |
| ADX / DI 방향성 period=29, threshold=27 |
3.3% | -34.7% | 0.34 | 0.09 | 3.6x | 36 | 14% |
| Supertrend period=30, mult=5 |
3.1% | -57.9% | 0.25 | 0.05 | 3.4x | 109 | 60% |
| ROC 모멘텀 n=122, threshold=0.05 |
1.9% | -63.2% | 0.19 | 0.03 | 2.1x | 393 | 51% |
| Parabolic SAR step=0.005, maxStep=0.12 |
1.8% | -56.1% | 0.19 | 0.03 | 2.0x | 319 | 55% |
| 볼린저 밴드 돌파 n=51, k=2.2 |
1.2% | -56.1% | 0.15 | 0.02 | 1.6x | 157 | 32% |
| Keltner 채널 돌파 emaPeriod=49, atrPeriod=29, mult=3.9 |
0.7% | -59.3% | 0.12 | 0.01 | 1.3x | 76 | 17% |
| MACD fast=29, slow=71, signal=34 |
-0.4% | -72.0% | 0.09 | -0.01 | 0.8x | 265 | 50% |
| Buy and hold | 10.9% | -64.1% | 0.47 | 0.17 | 62.2x | 1 | 100% |
Rules of the top strategy
Uses two exponential averages (more weight on recent prices) and trades their crossover.
- Buy — Buy when the 25-day EMA crosses above the 261-day EMA
- Sell — Sell when the 25-day EMA falls below the 261-day EMA