Trend-Following Backtester · Guide · backtest 한국어
equity · US
FVCBankcorp, Inc. backtest
10 trend-following strategies were compared on the full daily history of FVCBankcorp, Inc.. 2 beat buy-and-hold CAGR; SMA 크로스오버 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is SMA 크로스오버 (CAGR 14.1%, MDD -35.7%).
Results by strategy
2 of 10 beat buy and hold (CAGR 13.3%, drawdown -54.2%).
Sharpe leader (same as main): SMA 크로스오버 — CAGR 14.1%, MDD -35.7%, Sharpe 0.60, 53% exposure.
Return/drawdown alternative: SMA 크로스오버 — CAGR is 0.8%p higher than buy and hold, while drawdown improves by 18.4%p (CAGR 14.1%, MDD -35.7%, 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 |
|---|---|---|---|---|---|---|---|
| SMA 크로스오버 fast=39, slow=76 |
14.1% | -35.7% | 0.60 | 0.39 | 4.4x | 37 | 53% |
| Donchian 채널 돌파 entryN=22, exitN=31 |
13.6% | -39.5% | 0.57 | 0.34 | 4.2x | 39 | 64% |
| ADX / DI 방향성 period=29, threshold=25 |
7.0% | -22.4% | 0.52 | 0.31 | 2.1x | 21 | 24% |
| Keltner 채널 돌파 emaPeriod=35, atrPeriod=12, mult=2.8 |
9.8% | -35.3% | 0.52 | 0.28 | 2.8x | 33 | 24% |
| 볼린저 밴드 돌파 n=59, k=1.6 |
10.4% | -49.8% | 0.50 | 0.21 | 3.0x | 43 | 41% |
| ROC 모멘텀 n=59, threshold=-0.09 |
11.6% | -54.2% | 0.50 | 0.21 | 3.4x | 93 | 84% |
| EMA 크로스오버 fast=55, slow=140 |
9.8% | -40.2% | 0.47 | 0.24 | 2.8x | 15 | 60% |
| Supertrend period=10, mult=5 |
9.9% | -45.2% | 0.46 | 0.22 | 2.9x | 39 | 61% |
| MACD fast=22, slow=73, signal=16 |
5.9% | -51.1% | 0.33 | 0.12 | 1.9x | 89 | 45% |
| Parabolic SAR step=0.01, maxStep=0.2 |
4.1% | -72.7% | 0.27 | 0.06 | 1.6x | 123 | 52% |
| Buy and hold | 13.3% | -54.2% | 0.50 | 0.25 | 4.1x | 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 39-day average price crosses above the 76-day average
- Sell — Sell (to cash) when the 39-day average falls below the 76-day average