Trend-Following Backtester · Guide · backtest 한국어
equity · US
First Financial Bancorp. backtest
10 trend-following strategies were compared on the full daily history of First Financial Bancorp.. 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 5.7%, drawdown -79.2%).
Sharpe leader (same as main): SMA 크로스오버 — CAGR 3.3%, MDD -69.4%, Sharpe 0.25, 61% 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=19, slow=270 |
3.3% | -69.4% | 0.25 | 0.05 | 3.9x | 71 | 61% |
| EMA 크로스오버 fast=59, slow=210 |
2.7% | -71.7% | 0.23 | 0.04 | 3.2x | 53 | 62% |
| Donchian 채널 돌파 entryN=51, exitN=118 |
2.6% | -84.2% | 0.23 | 0.03 | 2.9x | 55 | 74% |
| ADX / DI 방향성 period=39, threshold=22 |
1.7% | -30.3% | 0.23 | 0.06 | 2.0x | 30 | 12% |
| 볼린저 밴드 돌파 n=72, k=3.5 |
1.8% | -28.4% | 0.22 | 0.06 | 2.1x | 34 | 11% |
| Keltner 채널 돌파 emaPeriod=11, atrPeriod=9, mult=3.2 |
0.5% | -16.3% | 0.12 | 0.03 | 1.2x | 22 | 2% |
| ROC 모멘텀 n=180, threshold=-0.09 |
-2.4% | -96.5% | 0.06 | -0.03 | 0.3x | 309 | 78% |
| MACD fast=53, slow=118, signal=94 |
-2.2% | -88.3% | 0.03 | -0.03 | 0.4x | 177 | 51% |
| Parabolic SAR step=0.005, maxStep=0.12 |
-3.4% | -93.1% | -0.01 | -0.04 | 0.2x | 346 | 56% |
| Supertrend period=26, mult=5 |
-3.4% | -93.2% | -0.02 | -0.04 | 0.2x | 129 | 56% |
| Buy and hold | 5.7% | -79.2% | 0.33 | 0.07 | 10.8x | 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 19-day average price crosses above the 270-day average
- Sell — Sell (to cash) when the 19-day average falls below the 270-day average