Trend-Following Backtester · Guide · backtest 한국어
equity · US
River City Bank backtest
10 trend-following strategies were compared on the full daily history of River City Bank. 5 beat buy-and-hold CAGR; SMA 크로스오버 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is SMA 크로스오버 (CAGR 15.4%, MDD -22.0%).
Results by strategy
5 of 10 beat buy and hold (CAGR 8.2%, drawdown -81.1%).
Sharpe leader (same as main): SMA 크로스오버 — CAGR 15.4%, MDD -22.0%, Sharpe 0.79, 68% exposure.
Return/drawdown alternative: SMA 크로스오버 — CAGR is 7.1%p higher than buy and hold, while drawdown improves by 59.1%p (CAGR 15.4%, MDD -22.0%, exposure 68%).
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=10, slow=208 |
15.4% | -22.0% | 0.79 | 0.70 | 14.4x | 17 | 68% |
| EMA 크로스오버 fast=11, slow=199 |
14.4% | -22.3% | 0.77 | 0.65 | 12.3x | 13 | 66% |
| Donchian 채널 돌파 entryN=74, exitN=107 |
14.9% | -24.3% | 0.76 | 0.61 | 13.4x | 11 | 74% |
| ROC 모멘텀 n=143, threshold=0.01 |
12.8% | -30.7% | 0.69 | 0.42 | 9.4x | 63 | 68% |
| ADX / DI 방향성 period=39, threshold=13 |
9.8% | -28.9% | 0.58 | 0.34 | 5.7x | 69 | 60% |
| 볼린저 밴드 돌파 n=58, k=2.6 |
7.8% | -26.6% | 0.53 | 0.29 | 4.1x | 43 | 44% |
| Keltner 채널 돌파 emaPeriod=59, atrPeriod=23, mult=4 |
6.4% | -36.2% | 0.42 | 0.18 | 3.2x | 69 | 54% |
| Parabolic SAR step=0.005, maxStep=0.1 |
6.6% | -40.0% | 0.41 | 0.17 | 3.3x | 62 | 63% |
| MACD fast=18, slow=47, signal=19 |
-1.9% | -77.6% | 0.05 | -0.02 | 0.7x | 170 | 48% |
| Supertrend period=12, mult=5 |
-3.2% | -68.4% | -0.04 | -0.05 | 0.5x | 159 | 60% |
| Buy and hold | 8.2% | -81.1% | 0.39 | 0.10 | 4.4x | 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 10-day average price crosses above the 208-day average
- Sell — Sell (to cash) when the 10-day average falls below the 208-day average