Trend-Following Backtester · Guide · backtest 한국어
equity · US
Peoples Bancorp Inc. backtest
10 trend-following strategies were compared on the full daily history of Peoples 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 5.8%, drawdown -77.1%).
Sharpe leader (same as main): SMA 크로스오버 — CAGR 3.3%, MDD -75.9%, Sharpe 0.26, 58% exposure.
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=30, slow=245 |
3.3% | -75.9% | 0.26 | 0.04 | 3.0x | 45 | 58% |
| ADX / DI 방향성 period=25, threshold=32 |
1.6% | -17.4% | 0.24 | 0.09 | 1.7x | 22 | 5% |
| Donchian 채널 돌파 entryN=108, exitN=62 |
2.4% | -74.9% | 0.22 | 0.03 | 2.2x | 51 | 42% |
| EMA 크로스오버 fast=46, slow=210 |
2.2% | -77.0% | 0.21 | 0.03 | 2.1x | 49 | 59% |
| Keltner 채널 돌파 emaPeriod=32, atrPeriod=25, mult=3.9 |
1.2% | -28.5% | 0.17 | 0.04 | 1.5x | 39 | 8% |
| 볼린저 밴드 돌파 n=38, k=2.9 |
0.2% | -55.0% | 0.09 | 0.00 | 1.1x | 86 | 17% |
| Supertrend period=21, mult=4.6 |
-2.1% | -83.7% | 0.05 | -0.03 | 0.5x | 101 | 53% |
| ROC 모멘텀 n=123, threshold=0.24 |
-0.4% | -57.9% | 0.04 | -0.01 | 0.9x | 151 | 15% |
| Parabolic SAR step=0.005, maxStep=0.12 |
-5.8% | -96.1% | -0.07 | -0.06 | 0.1x | 291 | 51% |
| MACD fast=19, slow=57, signal=15 |
-12.4% | -99.1% | -0.32 | -0.12 | 0.0x | 453 | 50% |
| Buy and hold | 5.8% | -77.1% | 0.34 | 0.08 | 6.7x | 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 30-day average price crosses above the 245-day average
- Sell — Sell (to cash) when the 30-day average falls below the 245-day average