Trend-Following Backtester · Guide · backtest 한국어
equity · US
Orange County Bancorp, Inc. backtest
10 trend-following strategies were compared on the full daily history of Orange County Bancorp, Inc.. 0 beat buy-and-hold CAGR; ROC 모멘텀 ranks first by Sharpe, matching the main backtester. Its 100% market exposure makes it hold-like.
Results by strategy
0 of 10 beat buy and hold (CAGR 5.8%, drawdown -60.6%).
Sharpe leader (same as main): ROC 모멘텀 — CAGR 5.6%, MDD -61.0%, Sharpe 0.32, 100% exposure. With at least 95% exposure, it should be treated as hold-like, not strong evidence of timing skill.
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 |
|---|---|---|---|---|---|---|---|
| ROC 모멘텀 Hold-like · Exposure 100% n=1, threshold=-0.12 |
5.6% | -61.0% | 0.32 | 0.09 | 3.5x | 7 | 100% |
| SMA 크로스오버 fast=35, slow=200 |
2.7% | -55.2% | 0.22 | 0.05 | 1.8x | 39 | 53% |
| EMA 크로스오버 fast=52, slow=151 |
1.5% | -54.4% | 0.18 | 0.03 | 1.4x | 43 | 55% |
| Donchian 채널 돌파 entryN=60, exitN=78 |
1.2% | -65.4% | 0.18 | 0.02 | 1.3x | 49 | 66% |
| ADX / DI 방향성 period=50, threshold=18 |
0.9% | -55.7% | 0.14 | 0.02 | 1.2x | 53 | 25% |
| Parabolic SAR step=0.005, maxStep=0.38 |
-3.1% | -68.7% | 0.02 | -0.04 | 0.5x | 113 | 53% |
| 볼린저 밴드 돌파 n=57, k=2.7 |
-3.5% | -59.6% | -0.02 | -0.06 | 0.4x | 66 | 26% |
| Keltner 채널 돌파 emaPeriod=59, atrPeriod=11, mult=3.9 |
-8.2% | -87.9% | -0.21 | -0.09 | 0.1x | 124 | 33% |
| Supertrend period=13, mult=5 |
-12.5% | -98.2% | -0.49 | -0.13 | 0.0x | 223 | 49% |
| MACD fast=17, slow=42, signal=18 |
-12.5% | -96.9% | -0.53 | -0.13 | 0.0x | 279 | 48% |
| Buy and hold | 5.8% | -60.6% | 0.32 | 0.10 | 3.6x | 1 | 100% |
Rules of the top strategy
Rides the trend when recent return (momentum) over a window is above a threshold.
- Buy — Buy when the last 1-day return is greater than -12%
- Sell — Sell when the 1-day return drops to -12% or below