Trend-Following Backtester · Guide · backtest 한국어
equity · US
Northeast Bank backtest
10 trend-following strategies were compared on the full daily history of Northeast Bank. 2 beat buy-and-hold CAGR; EMA 크로스오버 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is SMA 크로스오버 (CAGR 9.3%, MDD -40.8%).
Results by strategy
2 of 10 beat buy and hold (CAGR 8.7%, drawdown -72.4%).
Sharpe leader (same as main): EMA 크로스오버 — CAGR 11.1%, MDD -52.4%, Sharpe 0.53, 64% exposure.
Return/drawdown alternative: SMA 크로스오버 — CAGR is 2.4%p higher than buy and hold, while drawdown improves by 20.1%p (CAGR 9.3%, MDD -40.8%, exposure 61%).
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=61, slow=216 |
11.1% | -52.4% | 0.53 | 0.21 | 59.4x | 21 | 64% |
| SMA 크로스오버 fast=20, slow=216 |
9.3% | -40.8% | 0.47 | 0.23 | 32.4x | 59 | 61% |
| Donchian 채널 돌파 entryN=78, exitN=84 |
7.5% | -47.5% | 0.39 | 0.16 | 16.8x | 57 | 62% |
| ADX / DI 방향성 period=37, threshold=24 |
3.3% | -25.6% | 0.28 | 0.13 | 3.5x | 44 | 12% |
| 볼린저 밴드 돌파 n=53, k=3.4 |
2.4% | -42.7% | 0.24 | 0.06 | 2.5x | 62 | 14% |
| ROC 모멘텀 n=116, threshold=-0.08 |
2.8% | -81.9% | 0.24 | 0.03 | 2.9x | 293 | 79% |
| Parabolic SAR step=0.005, maxStep=0.2 |
-2.6% | -87.7% | 0.04 | -0.03 | 0.4x | 263 | 54% |
| Keltner 채널 돌파 emaPeriod=53, atrPeriod=35, mult=4 |
-3.5% | -84.2% | -0.09 | -0.04 | 0.3x | 152 | 26% |
| MACD fast=24, slow=71, signal=31 |
-7.7% | -97.9% | -0.15 | -0.08 | 0.0x | 372 | 48% |
| Supertrend period=24, mult=4.7 |
-9.3% | -99.7% | -0.19 | -0.09 | 0.0x | 293 | 55% |
| Buy and hold | 8.7% | -72.4% | 0.41 | 0.12 | 25.6x | 1 | 100% |
Rules of the top strategy
Uses two exponential averages (more weight on recent prices) and trades their crossover.
- Buy — Buy when the 61-day EMA crosses above the 216-day EMA
- Sell — Sell when the 61-day EMA falls below the 216-day EMA