Trend-Following Backtester · Guide · backtest 한국어
equity · US
Peapack-Gladstone Financial Corporation backtest
10 trend-following strategies were compared on the full daily history of Peapack-Gladstone Financial Corporation. 1 beat buy-and-hold CAGR; SMA 크로스오버 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is SMA 크로스오버 (CAGR 5.8%, MDD -45.0%).
Results by strategy
1 of 10 beat buy and hold (CAGR 3.7%, drawdown -72.0%).
Sharpe leader (same as main): SMA 크로스오버 — CAGR 5.8%, MDD -45.0%, Sharpe 0.34, 53% exposure.
Return/drawdown alternative: SMA 크로스오버 — CAGR is 2.1%p higher than buy and hold, while drawdown improves by 27.0%p (CAGR 5.8%, MDD -45.0%, exposure 53%).
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=54, slow=73 |
5.8% | -45.0% | 0.34 | 0.13 | 4.7x | 125 | 53% |
| Donchian 채널 돌파 entryN=11, exitN=76 |
3.5% | -71.1% | 0.27 | 0.05 | 2.6x | 83 | 85% |
| ADX / DI 방향성 period=38, threshold=26 |
1.7% | -16.8% | 0.26 | 0.10 | 1.6x | 16 | 6% |
| Keltner 채널 돌파 emaPeriod=74, atrPeriod=11, mult=4 |
2.7% | -43.9% | 0.25 | 0.06 | 2.1x | 47 | 20% |
| EMA 크로스오버 fast=33, slow=163 |
3.0% | -52.7% | 0.24 | 0.06 | 2.2x | 47 | 51% |
| ROC 모멘텀 n=72, threshold=-0.09 |
2.6% | -79.2% | 0.24 | 0.03 | 2.0x | 231 | 78% |
| 볼린저 밴드 돌파 n=50, k=3.4 |
1.6% | -41.1% | 0.19 | 0.04 | 1.5x | 31 | 11% |
| Supertrend period=24, mult=4.8 |
-4.4% | -88.2% | -0.02 | -0.05 | 0.3x | 103 | 56% |
| Parabolic SAR step=0.01, maxStep=0.12 |
-5.7% | -93.5% | -0.07 | -0.06 | 0.2x | 364 | 50% |
| MACD fast=17, slow=47, signal=15 |
-8.1% | -95.6% | -0.19 | -0.08 | 0.1x | 326 | 50% |
| Buy and hold | 3.7% | -72.0% | 0.29 | 0.05 | 2.7x | 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 54-day average price crosses above the 73-day average
- Sell — Sell (to cash) when the 54-day average falls below the 73-day average