Trend-Following Backtester · Guide · backtest 한국어
equity · US
Parke Bancorp, Inc. backtest
10 trend-following strategies were compared on the full daily history of Parke Bancorp, Inc.. 1 beat buy-and-hold CAGR; Donchian 채널 돌파 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is EMA 크로스오버 (CAGR 7.5%, MDD -54.2%).
Results by strategy
1 of 10 beat buy and hold (CAGR 9.9%, drawdown -78.4%).
Sharpe leader (same as main): Donchian 채널 돌파 — CAGR 10.0%, MDD -63.5%, Sharpe 0.47, 78% exposure.
Return/drawdown alternative: EMA 크로스오버 — CAGR is 0.2%p higher than buy and hold, while drawdown improves by 15.0%p (CAGR 7.5%, MDD -54.2%, exposure 56%).
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 |
|---|---|---|---|---|---|---|---|
| Donchian 채널 돌파 entryN=18, exitN=67 |
10.0% | -63.5% | 0.47 | 0.16 | 9.1x | 51 | 78% |
| EMA 크로스오버 fast=29, slow=50 |
7.5% | -54.2% | 0.42 | 0.14 | 5.3x | 85 | 56% |
| 볼린저 밴드 돌파 n=54, k=2.8 |
5.4% | -34.4% | 0.42 | 0.16 | 3.4x | 51 | 22% |
| ROC 모멘텀 n=73, threshold=-0.11 |
6.7% | -86.2% | 0.37 | 0.08 | 4.4x | 147 | 84% |
| ADX / DI 방향성 period=41, threshold=30 |
1.3% | -11.7% | 0.36 | 0.11 | 1.4x | 6 | 4% |
| SMA 크로스오버 fast=25, slow=87 |
5.6% | -55.3% | 0.35 | 0.10 | 3.5x | 77 | 56% |
| Keltner 채널 돌파 emaPeriod=59, atrPeriod=24, mult=3.9 |
3.4% | -46.5% | 0.30 | 0.07 | 2.2x | 49 | 23% |
| MACD fast=30, slow=57, signal=28 |
4.4% | -53.6% | 0.30 | 0.08 | 2.7x | 168 | 49% |
| Supertrend period=26, mult=4.3 |
3.6% | -68.0% | 0.27 | 0.05 | 2.3x | 91 | 57% |
| Parabolic SAR step=0.01, maxStep=0.16 |
2.9% | -66.4% | 0.24 | 0.04 | 1.9x | 287 | 51% |
| Buy and hold | 9.9% | -78.4% | 0.44 | 0.13 | 8.8x | 1 | 100% |
Rules of the top strategy
A new high means a trend starting; a new low means it’s over (turtle-trading style).
- Buy — Buy on a breakout above the highest high of the last 18 days
- Sell — Sell when price breaks below the lowest low of the last 67 days