Trend-Following Backtester · Guide · backtest 한국어
equity · US
Orrstown Financial Services, Inc. backtest
10 trend-following strategies were compared on the full daily history of Orrstown Financial Services, Inc.. 4 beat buy-and-hold CAGR; SMA 크로스오버 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is SMA 크로스오버 (CAGR 7.3%, MDD -40.4%).
Results by strategy
4 of 10 beat buy and hold (CAGR 4.3%, drawdown -83.5%).
Sharpe leader (same as main): SMA 크로스오버 — CAGR 7.3%, MDD -40.4%, Sharpe 0.40, 60% exposure.
Return/drawdown alternative: SMA 크로스오버 — CAGR is 3.0%p higher than buy and hold, while drawdown improves by 43.1%p (CAGR 7.3%, MDD -40.4%, exposure 60%).
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=56, slow=165 |
7.3% | -40.4% | 0.40 | 0.18 | 6.8x | 45 | 60% |
| ROC 모멘텀 n=125, threshold=-0.12 |
6.6% | -65.4% | 0.36 | 0.10 | 5.7x | 97 | 83% |
| Donchian 채널 돌파 entryN=97, exitN=96 |
5.8% | -56.1% | 0.35 | 0.10 | 4.7x | 35 | 59% |
| EMA 크로스오버 fast=46, slow=264 |
5.0% | -65.9% | 0.32 | 0.08 | 3.8x | 25 | 64% |
| ADX / DI 방향성 period=20, threshold=27 |
1.2% | -46.4% | 0.15 | 0.03 | 1.4x | 98 | 16% |
| Keltner 채널 돌파 emaPeriod=52, atrPeriod=17, mult=3.6 |
0.2% | -59.6% | 0.10 | 0.00 | 1.1x | 94 | 22% |
| 볼린저 밴드 돌파 n=41, k=2.5 |
-0.3% | -66.1% | 0.08 | -0.00 | 0.9x | 113 | 24% |
| MACD fast=28, slow=61, signal=19 |
-3.0% | -80.1% | 0.02 | -0.04 | 0.4x | 227 | 47% |
| Parabolic SAR step=0.01, maxStep=0.12 |
-4.3% | -91.2% | -0.05 | -0.05 | 0.3x | 299 | 49% |
| Supertrend period=18, mult=5 |
-3.4% | -87.3% | -0.06 | -0.04 | 0.4x | 137 | 51% |
| Buy and hold | 4.3% | -83.5% | 0.30 | 0.05 | 3.2x | 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 56-day average price crosses above the 165-day average
- Sell — Sell (to cash) when the 56-day average falls below the 165-day average