Trend-Following Backtester · Guide · backtest 한국어
equity · US
MetroCity Bankshares, Inc. backtest
10 trend-following strategies were compared on the full daily history of MetroCity Bankshares, Inc.. 3 beat buy-and-hold CAGR; SMA 크로스오버 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is SMA 크로스오버 (CAGR 17.7%, MDD -27.0%).
Results by strategy
3 of 10 beat buy and hold (CAGR 12.9%, drawdown -55.5%).
Sharpe leader (same as main): SMA 크로스오버 — CAGR 17.7%, MDD -27.0%, Sharpe 0.76, 62% exposure.
CAGR reference leader: ROC 모멘텀 — CAGR 17.9%, MDD -36.1%, exposure 71%.
Return/drawdown alternative: SMA 크로스오버 — CAGR is 4.8%p higher than buy and hold, while drawdown improves by 28.4%p (CAGR 17.7%, MDD -27.0%, exposure 62%).
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=21, slow=122 |
17.7% | -27.0% | 0.76 | 0.65 | 3.1x | 9 | 62% |
| ROC 모멘텀 n=45, threshold=-0.04 |
17.9% | -36.1% | 0.70 | 0.50 | 3.1x | 73 | 71% |
| Donchian 채널 돌파 entryN=13, exitN=51 |
17.5% | -43.0% | 0.68 | 0.41 | 3.1x | 15 | 80% |
| EMA 크로스오버 fast=54, slow=58 |
12.8% | -34.3% | 0.58 | 0.37 | 2.3x | 13 | 64% |
| Supertrend period=10, mult=3.7 |
11.8% | -28.8% | 0.54 | 0.41 | 2.2x | 27 | 62% |
| MACD fast=13, slow=40, signal=13 |
5.7% | -46.9% | 0.34 | 0.12 | 1.5x | 94 | 47% |
| 볼린저 밴드 돌파 n=13, k=2.2 |
0.8% | -34.3% | 0.13 | 0.02 | 1.1x | 72 | 24% |
| ADX / DI 방향성 period=24, threshold=26 |
0.6% | -10.9% | 0.12 | 0.05 | 1.0x | 6 | 4% |
| Keltner 채널 돌파 emaPeriod=19, atrPeriod=21, mult=1.2 |
0.1% | -44.6% | 0.11 | 0.00 | 1.0x | 76 | 34% |
| Parabolic SAR step=0.025, maxStep=0.12 |
-3.9% | -49.3% | -0.01 | -0.08 | 0.8x | 156 | 52% |
| Buy and hold | 12.9% | -55.5% | 0.50 | 0.23 | 2.3x | 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 21-day average price crosses above the 122-day average
- Sell — Sell (to cash) when the 21-day average falls below the 122-day average