Trend-Following Backtester · Guide · backtest 한국어
equity · US
Investar Holding Corporation backtest
10 trend-following strategies were compared on the full daily history of Investar Holding Corporation. 6 beat buy-and-hold CAGR; SMA 크로스오버 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is SMA 크로스오버 (CAGR 11.6%, MDD -24.6%).
Results by strategy
6 of 10 beat buy and hold (CAGR 6.4%, drawdown -68.6%).
Sharpe leader (same as main): SMA 크로스오버 — CAGR 11.6%, MDD -24.6%, Sharpe 0.64, 59% exposure.
CAGR reference leader: Donchian 채널 돌파 — CAGR 14.1%, MDD -43.0%, exposure 71%.
Return/drawdown alternative: SMA 크로스오버 — CAGR is 5.2%p higher than buy and hold, while drawdown improves by 44.1%p (CAGR 11.6%, MDD -24.6%, exposure 59%).
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=16, slow=160 |
11.6% | -24.6% | 0.64 | 0.47 | 3.8x | 25 | 59% |
| Donchian 채널 돌파 entryN=15, exitN=29 |
14.1% | -43.0% | 0.64 | 0.33 | 4.9x | 45 | 71% |
| Supertrend period=18, mult=4.5 |
11.1% | -36.1% | 0.58 | 0.31 | 3.6x | 26 | 57% |
| EMA 크로스오버 fast=43, slow=68 |
9.8% | -24.8% | 0.56 | 0.39 | 3.1x | 29 | 62% |
| ROC 모멘텀 n=133, threshold=0.01 |
9.8% | -41.0% | 0.54 | 0.24 | 3.1x | 61 | 60% |
| ADX / DI 방향성 period=28, threshold=16 |
6.6% | -27.7% | 0.43 | 0.24 | 2.2x | 74 | 36% |
| Keltner 채널 돌파 emaPeriod=48, atrPeriod=11, mult=3.8 |
4.5% | -25.8% | 0.41 | 0.17 | 1.7x | 24 | 22% |
| 볼린저 밴드 돌파 n=49, k=2.2 |
2.1% | -36.9% | 0.21 | 0.06 | 1.3x | 54 | 32% |
| Parabolic SAR step=0.005, maxStep=0.16 |
1.7% | -54.1% | 0.19 | 0.03 | 1.2x | 99 | 51% |
| MACD fast=12, slow=34, signal=14 |
-3.6% | -73.0% | -0.03 | -0.05 | 0.6x | 194 | 50% |
| Buy and hold | 6.4% | -68.6% | 0.35 | 0.09 | 2.1x | 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 16-day average price crosses above the 160-day average
- Sell — Sell (to cash) when the 16-day average falls below the 160-day average