Trend-Following Backtester · Guide · backtest 한국어
equity · US
Plumas Bancorp backtest
10 trend-following strategies were compared on the full daily history of Plumas Bancorp. 2 beat buy-and-hold CAGR; SMA 크로스오버 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is SMA 크로스오버 (CAGR 9.5%, MDD -64.2%).
Results by strategy
2 of 10 beat buy and hold (CAGR 7.7%, drawdown -93.5%).
Sharpe leader (same as main): SMA 크로스오버 — CAGR 9.5%, MDD -64.2%, Sharpe 0.43, 53% exposure.
Return/drawdown alternative: SMA 크로스오버 — CAGR is 1.8%p higher than buy and hold, while drawdown improves by 29.3%p (CAGR 9.5%, MDD -64.2%, 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=65, slow=224 |
9.5% | -64.2% | 0.43 | 0.15 | 8.5x | 25 | 53% |
| Donchian 채널 돌파 entryN=59, exitN=58 |
9.2% | -72.2% | 0.42 | 0.13 | 8.0x | 31 | 57% |
| EMA 크로스오버 fast=51, slow=112 |
6.5% | -74.3% | 0.35 | 0.09 | 4.4x | 37 | 54% |
| Supertrend period=22, mult=5 |
1.2% | -83.7% | 0.21 | 0.01 | 1.3x | 65 | 56% |
| ADX / DI 방향성 period=27, threshold=35 |
1.5% | -16.9% | 0.21 | 0.09 | 1.4x | 14 | 5% |
| Parabolic SAR step=0.005, maxStep=0.22 |
0.1% | -89.8% | 0.21 | 0.00 | 1.0x | 159 | 54% |
| ROC 모멘텀 n=132, threshold=0.06 |
0.3% | -80.8% | 0.18 | 0.00 | 1.1x | 259 | 47% |
| 볼린저 밴드 돌파 n=59, k=3.3 |
-0.7% | -48.5% | 0.06 | -0.01 | 0.9x | 38 | 15% |
| Keltner 채널 돌파 emaPeriod=17, atrPeriod=19, mult=3.7 |
-0.3% | -46.9% | 0.06 | -0.01 | 0.9x | 42 | 7% |
| MACD fast=14, slow=18, signal=17 |
-15.9% | -99.5% | -0.23 | -0.16 | 0.0x | 402 | 48% |
| Buy and hold | 7.7% | -93.5% | 0.41 | 0.08 | 5.7x | 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 65-day average price crosses above the 224-day average
- Sell — Sell (to cash) when the 65-day average falls below the 224-day average