Trend-Following Backtester · Guide · backtest 한국어
equity · US
Northrim BanCorp Inc backtest
10 trend-following strategies were compared on the full daily history of Northrim BanCorp Inc. 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 9.7%, drawdown -76.1%).
Sharpe leader (same as main): SMA 크로스오버 — CAGR 7.1%, MDD -55.2%, Sharpe 0.39, 61% exposure.
CAGR reference leader: ROC 모멘텀 — CAGR 7.8%, MDD -72.1%, exposure 99%. It is hold-like at 95%+ exposure and is not used as the featured strategy.
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=57, slow=157 |
7.1% | -55.2% | 0.39 | 0.13 | 11.6x | 57 | 61% |
| ROC 모멘텀 Hold-like · Exposure 99% n=7, threshold=-0.13 |
7.8% | -72.1% | 0.39 | 0.11 | 14.7x | 73 | 99% |
| EMA 크로스오버 fast=48, slow=203 |
6.5% | -47.9% | 0.36 | 0.14 | 9.4x | 43 | 67% |
| Donchian 채널 돌파 entryN=46, exitN=64 |
6.5% | -60.4% | 0.36 | 0.11 | 9.6x | 69 | 69% |
| Supertrend period=36, mult=5 |
1.4% | -59.7% | 0.19 | 0.02 | 1.6x | 105 | 58% |
| Parabolic SAR step=0.01, maxStep=0.1 |
0.1% | -67.0% | 0.14 | 0.00 | 1.0x | 417 | 53% |
| ADX / DI 방향성 period=34, threshold=34 |
0.4% | -30.9% | 0.08 | 0.01 | 1.1x | 8 | 6% |
| Keltner 채널 돌파 emaPeriod=43, atrPeriod=9, mult=3 |
-0.3% | -41.8% | 0.06 | -0.01 | 0.9x | 108 | 21% |
| 볼린저 밴드 돌파 n=63, k=3 |
-0.5% | -50.2% | 0.05 | -0.01 | 0.8x | 77 | 20% |
| MACD fast=16, slow=30, signal=18 |
-6.5% | -95.7% | -0.11 | -0.07 | 0.1x | 500 | 51% |
| Buy and hold | 9.7% | -76.1% | 0.43 | 0.13 | 27.7x | 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 57-day average price crosses above the 157-day average
- Sell — Sell (to cash) when the 57-day average falls below the 157-day average