Trend-Following Backtester · Guide · backtest 한국어
equity · US
Financial Institutions, Inc. backtest
10 trend-following strategies were compared on the full daily history of Financial Institutions, Inc.. 0 beat buy-and-hold CAGR; SMA 크로스오버 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is SMA 크로스오버 (CAGR 3.3%, MDD -65.0%).
Results by strategy
0 of 10 beat buy and hold (CAGR 3.8%, drawdown -91.5%).
Sharpe leader (same as main): SMA 크로스오버 — CAGR 3.3%, MDD -65.0%, Sharpe 0.26, 56% exposure.
Return/drawdown alternative: SMA 크로스오버 — CAGR is 0.5%p lower than buy and hold, while drawdown improves by 26.5%p (CAGR 3.3%, MDD -65.0%, exposure 56%).
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=32, slow=172 |
3.3% | -65.0% | 0.26 | 0.05 | 2.4x | 49 | 56% |
| EMA 크로스오버 fast=54, slow=171 |
2.9% | -69.7% | 0.24 | 0.04 | 2.2x | 43 | 57% |
| Keltner 채널 돌파 emaPeriod=50, atrPeriod=8, mult=3.2 |
2.2% | -47.2% | 0.21 | 0.05 | 1.8x | 55 | 19% |
| 볼린저 밴드 돌파 n=17, k=3 |
1.9% | -33.8% | 0.20 | 0.06 | 1.7x | 48 | 6% |
| Donchian 채널 돌파 entryN=23, exitN=75 |
0.3% | -82.2% | 0.18 | 0.00 | 1.1x | 73 | 78% |
| ADX / DI 방향성 period=28, threshold=21 |
0.4% | -43.8% | 0.10 | 0.01 | 1.1x | 77 | 11% |
| ROC 모멘텀 n=14, threshold=0.23 |
0.2% | -47.6% | 0.08 | 0.00 | 1.1x | 54 | 1% |
| Supertrend period=25, mult=4.9 |
-1.9% | -82.9% | 0.08 | -0.02 | 0.6x | 75 | 52% |
| MACD fast=16, slow=46, signal=16 |
-7.6% | -95.8% | -0.11 | -0.08 | 0.1x | 357 | 50% |
| Parabolic SAR step=0.01, maxStep=0.12 |
-7.8% | -96.0% | -0.11 | -0.08 | 0.1x | 381 | 52% |
| Buy and hold | 3.8% | -91.5% | 0.30 | 0.04 | 2.8x | 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 32-day average price crosses above the 172-day average
- Sell — Sell (to cash) when the 32-day average falls below the 172-day average