Trend-Following Backtester · Guide · backtest 한국어
equity · US
Great Southern Bancorp, Inc. backtest
10 trend-following strategies were compared on the full daily history of Great Southern Bancorp, Inc.. 1 beat buy-and-hold CAGR; EMA 크로스오버 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is EMA 크로스오버 (CAGR 13.5%, MDD -38.0%).
Results by strategy
1 of 10 beat buy and hold (CAGR 13.5%, drawdown -83.6%).
Sharpe leader (same as main): EMA 크로스오버 — CAGR 13.5%, MDD -38.0%, Sharpe 0.61, 69% exposure.
Return/drawdown alternative: EMA 크로스오버 — CAGR is 0.1%p higher than buy and hold, while drawdown improves by 45.6%p (CAGR 13.5%, MDD -38.0%, exposure 69%).
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=55, slow=159 |
13.5% | -38.0% | 0.61 | 0.36 | 105.6x | 39 | 69% |
| Donchian 채널 돌파 entryN=100, exitN=66 |
11.7% | -37.3% | 0.58 | 0.31 | 57.8x | 47 | 59% |
| SMA 크로스오버 fast=31, slow=159 |
11.7% | -44.8% | 0.56 | 0.26 | 58.4x | 65 | 64% |
| 볼린저 밴드 돌파 n=75, k=3.3 |
5.9% | -35.4% | 0.43 | 0.17 | 8.3x | 45 | 21% |
| ADX / DI 방향성 period=34, threshold=29 |
4.8% | -29.6% | 0.42 | 0.16 | 5.6x | 20 | 12% |
| Supertrend period=20, mult=5 |
7.2% | -59.9% | 0.40 | 0.12 | 12.8x | 83 | 61% |
| ROC 모멘텀 n=146, threshold=-0.03 |
7.0% | -67.7% | 0.38 | 0.10 | 12.0x | 333 | 70% |
| Keltner 채널 돌파 emaPeriod=75, atrPeriod=26, mult=3.4 |
4.4% | -67.4% | 0.31 | 0.07 | 4.8x | 95 | 35% |
| Parabolic SAR step=0.005, maxStep=0.18 |
1.5% | -85.9% | 0.18 | 0.02 | 1.7x | 305 | 54% |
| MACD fast=17, slow=57, signal=17 |
-2.2% | -86.3% | 0.05 | -0.03 | 0.4x | 456 | 48% |
| Buy and hold | 13.5% | -83.6% | 0.53 | 0.16 | 103.8x | 1 | 100% |
Rules of the top strategy
Uses two exponential averages (more weight on recent prices) and trades their crossover.
- Buy — Buy when the 55-day EMA crosses above the 159-day EMA
- Sell — Sell when the 55-day EMA falls below the 159-day EMA