Trend-Following Backtester · Guide · backtest 한국어
equity · US
Five Star Bancorp backtest
10 trend-following strategies were compared on the full daily history of Five Star Bancorp. 1 beat buy-and-hold CAGR; Donchian 채널 돌파 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is Donchian 채널 돌파 (CAGR 19.4%, MDD -17.8%).
Results by strategy
1 of 10 beat buy and hold (CAGR 17.7%, drawdown -43.0%).
Sharpe leader (same as main): Donchian 채널 돌파 — CAGR 19.4%, MDD -17.8%, Sharpe 0.88, 58% exposure.
Return/drawdown alternative: Donchian 채널 돌파 — CAGR is 1.7%p higher than buy and hold, while drawdown improves by 25.2%p (CAGR 19.4%, MDD -17.8%, exposure 58%).
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 |
|---|---|---|---|---|---|---|---|
| Donchian 채널 돌파 entryN=30, exitN=28 |
19.4% | -17.8% | 0.88 | 1.09 | 2.5x | 11 | 58% |
| SMA 크로스오버 fast=37, slow=90 |
11.9% | -32.0% | 0.61 | 0.37 | 1.8x | 13 | 55% |
| EMA 크로스오버 fast=16, slow=84 |
10.4% | -30.1% | 0.55 | 0.35 | 1.7x | 19 | 59% |
| 볼린저 밴드 돌파 n=55, k=1.5 |
9.3% | -17.6% | 0.54 | 0.53 | 1.6x | 21 | 43% |
| ROC 모멘텀 n=59, threshold=-0.01 |
10.4% | -27.8% | 0.54 | 0.37 | 1.7x | 63 | 59% |
| Supertrend period=10, mult=3.4 |
10.0% | -27.7% | 0.52 | 0.36 | 1.6x | 17 | 62% |
| ADX / DI 방향성 period=24, threshold=12 |
8.1% | -32.6% | 0.48 | 0.25 | 1.5x | 46 | 42% |
| Keltner 채널 돌파 emaPeriod=44, atrPeriod=11, mult=1.6 |
7.0% | -21.3% | 0.45 | 0.33 | 1.4x | 27 | 39% |
| Parabolic SAR step=0.005, maxStep=0.22 |
4.5% | -44.9% | 0.31 | 0.10 | 1.3x | 48 | 52% |
| MACD fast=19, slow=54, signal=11 |
1.3% | -49.5% | 0.17 | 0.03 | 1.1x | 70 | 49% |
| Buy and hold | 17.7% | -43.0% | 0.66 | 0.41 | 2.3x | 1 | 100% |
Rules of the top strategy
A new high means a trend starting; a new low means it’s over (turtle-trading style).
- Buy — Buy on a breakout above the highest high of the last 30 days
- Sell — Sell when price breaks below the lowest low of the last 28 days