Trend-Following Backtester · Guide · backtest 한국어
equity · US
Kearny Financial backtest
10 trend-following strategies were compared on the full daily history of Kearny Financial. 0 beat buy-and-hold CAGR; SMA 크로스오버 ranks first by Sharpe, matching the main backtester.
Results by strategy
0 of 10 beat buy and hold (CAGR 0.7%, drawdown -66.4%).
Sharpe leader (same as main): SMA 크로스오버 — CAGR 0.2%, MDD -60.1%, Sharpe 0.10, 52% exposure.
CAGR reference leader: Keltner 채널 돌파 — CAGR 0.4%, MDD -27.9%, exposure 0%.
No strategy retained at least 75% of buy-and-hold CAGR while reducing drawdown by both 20% relatively and 5 percentage points absolutely.
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=56, slow=132 |
0.2% | -60.1% | 0.10 | 0.00 | 1.0x | 45 | 52% |
| Keltner 채널 돌파 emaPeriod=9, atrPeriod=29, mult=3.7 |
0.4% | -27.9% | 0.08 | 0.01 | 1.1x | 4 | 0% |
| Donchian 채널 돌파 entryN=12, exitN=97 |
-1.8% | -74.6% | 0.08 | -0.02 | 0.7x | 55 | 84% |
| Supertrend period=3, mult=3.7 |
-0.9% | -60.4% | 0.08 | -0.01 | 0.8x | 91 | 53% |
| 볼린저 밴드 돌파 n=45, k=3.5 |
-0.3% | -32.0% | 0.04 | -0.01 | 0.9x | 24 | 9% |
| EMA 크로스오버 fast=46, slow=80 |
-1.3% | -68.5% | 0.04 | -0.02 | 0.8x | 49 | 52% |
| ADX / DI 방향성 period=39, threshold=11 |
-1.5% | -55.7% | -0.01 | -0.03 | 0.7x | 147 | 26% |
| ROC 모멘텀 n=117, threshold=-0.04 |
-5.8% | -90.2% | -0.13 | -0.06 | 0.3x | 237 | 63% |
| Parabolic SAR step=0.005, maxStep=0.3 |
-6.4% | -82.4% | -0.17 | -0.08 | 0.2x | 183 | 52% |
| MACD fast=19, slow=49, signal=19 |
-10.0% | -92.2% | -0.33 | -0.11 | 0.1x | 250 | 49% |
| Buy and hold | 0.7% | -66.4% | 0.18 | 0.01 | 1.2x | 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 56-day average price crosses above the 132-day average
- Sell — Sell (to cash) when the 56-day average falls below the 132-day average