Trend-Following Backtester · Guide · backtest 한국어
equity · US
RBB Bancorp backtest
10 trend-following strategies were compared on the full daily history of RBB Bancorp. 10 beat buy-and-hold CAGR; EMA 크로스오버 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is 볼린저 밴드 돌파 (CAGR 6.1%, MDD -21.5%).
Results by strategy
10 of 10 beat buy and hold (CAGR 1.3%, drawdown -72.6%).
Sharpe leader (same as main): EMA 크로스오버 — CAGR 13.3%, MDD -27.2%, Sharpe 0.71, 54% exposure.
Return/drawdown alternative: 볼린저 밴드 돌파 — CAGR is 12.0%p higher than buy and hold, while drawdown improves by 45.5%p (CAGR 6.1%, MDD -21.5%, exposure 18%).
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 |
|---|---|---|---|---|---|---|---|
| EMA 크로스오버 fast=50, slow=73 |
13.3% | -27.2% | 0.71 | 0.49 | 3.1x | 11 | 54% |
| Donchian 채널 돌파 entryN=74, exitN=86 |
12.8% | -25.5% | 0.70 | 0.50 | 3.0x | 9 | 51% |
| ROC 모멘텀 n=167, threshold=0.11 |
10.2% | -26.1% | 0.64 | 0.39 | 2.4x | 35 | 38% |
| SMA 크로스오버 fast=23, slow=169 |
10.4% | -32.8% | 0.59 | 0.32 | 2.4x | 11 | 50% |
| 볼린저 밴드 돌파 n=53, k=3 |
6.1% | -21.5% | 0.54 | 0.28 | 1.7x | 13 | 18% |
| Supertrend period=23, mult=2.8 |
7.2% | -33.5% | 0.42 | 0.22 | 1.9x | 53 | 57% |
| Keltner 채널 돌파 emaPeriod=51, atrPeriod=25, mult=1.6 |
5.0% | -31.1% | 0.35 | 0.16 | 1.5x | 51 | 42% |
| MACD fast=23, slow=28, signal=18 |
5.5% | -36.9% | 0.34 | 0.15 | 1.6x | 96 | 49% |
| Parabolic SAR step=0.015, maxStep=0.36 |
5.2% | -48.0% | 0.33 | 0.11 | 1.6x | 158 | 49% |
| ADX / DI 방향성 period=36, threshold=8 |
2.2% | -46.3% | 0.21 | 0.05 | 1.2x | 103 | 46% |
| Buy and hold | 1.3% | -72.6% | 0.21 | 0.02 | 1.1x | 1 | 100% |
Rules of the top strategy
Uses two exponential averages (more weight on recent prices) and trades their crossover.
- Buy — Buy when the 50-day EMA crosses above the 73-day EMA
- Sell — Sell when the 50-day EMA falls below the 73-day EMA