Trend-Following Backtester · Guide · backtest 한국어
equity · US
NorthEast Community Bancorp, Inc. backtest
10 trend-following strategies were compared on the full daily history of NorthEast Community Bancorp, Inc.. 0 beat buy-and-hold CAGR; Donchian 채널 돌파 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is Donchian 채널 돌파 (CAGR 5.7%, MDD -46.3%).
Results by strategy
0 of 10 beat buy and hold (CAGR 6.0%, drawdown -63.5%).
Sharpe leader (same as main): Donchian 채널 돌파 — CAGR 5.7%, MDD -46.3%, Sharpe 0.38, 55% exposure.
Return/drawdown alternative: Donchian 채널 돌파 — CAGR is 0.3%p lower than buy and hold, while drawdown improves by 17.2%p (CAGR 5.7%, MDD -46.3%, exposure 55%).
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 |
|---|---|---|---|---|---|---|---|
| Donchian 채널 돌파 entryN=57, exitN=35 |
5.7% | -46.3% | 0.38 | 0.12 | 3.1x | 51 | 55% |
| Keltner 채널 돌파 emaPeriod=98, atrPeriod=16, mult=3.3 |
4.2% | -37.0% | 0.34 | 0.11 | 2.3x | 51 | 39% |
| SMA 크로스오버 fast=14, slow=103 |
4.7% | -46.0% | 0.32 | 0.10 | 2.5x | 65 | 56% |
| ROC 모멘텀 Hold-like · Exposure 100% n=1, threshold=-0.1 |
5.5% | -71.0% | 0.32 | 0.08 | 2.9x | 15 | 100% |
| 볼린저 밴드 돌파 n=49, k=3.1 |
2.8% | -38.5% | 0.28 | 0.07 | 1.7x | 45 | 22% |
| EMA 크로스오버 fast=26, slow=181 |
3.3% | -47.4% | 0.27 | 0.07 | 1.9x | 37 | 57% |
| ADX / DI 방향성 period=26, threshold=40 |
0.4% | -2.5% | 0.24 | 0.15 | 1.1x | 4 | 1% |
| Supertrend period=27, mult=4.9 |
1.8% | -71.0% | 0.19 | 0.03 | 1.4x | 65 | 53% |
| Parabolic SAR step=0.005, maxStep=0.3 |
-3.3% | -81.8% | -0.03 | -0.04 | 0.5x | 156 | 55% |
| MACD fast=19, slow=30, signal=17 |
-4.8% | -88.2% | -0.11 | -0.05 | 0.4x | 268 | 48% |
| Buy and hold | 6.0% | -63.5% | 0.34 | 0.09 | 3.2x | 1 | 100% |
Rules of the top strategy
A new high means a trend starting; a new low means it’s over (turtle-trading style).
- Buy — Buy on a breakout above the highest high of the last 57 days
- Sell — Sell when price breaks below the lowest low of the last 35 days