Trend-Following Backtester · Guide · backtest 한국어
equity · US
Seacoast Banking Corporation of Florida backtest
10 trend-following strategies were compared on the full daily history of Seacoast Banking Corporation of Florida. 3 beat buy-and-hold CAGR; EMA 크로스오버 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is ROC 모멘텀 (CAGR 4.5%, MDD -64.5%).
Results by strategy
3 of 10 beat buy and hold (CAGR 2.9%, drawdown -96.5%).
Sharpe leader (same as main): EMA 크로스오버 — CAGR 4.6%, MDD -65.1%, Sharpe 0.31, 61% exposure.
Return/drawdown alternative: ROC 모멘텀 — CAGR is 1.7%p higher than buy and hold, while drawdown improves by 31.3%p (CAGR 4.5%, MDD -64.5%, exposure 73%).
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=53, slow=238 |
4.6% | -65.1% | 0.31 | 0.07 | 6.9x | 47 | 61% |
| ROC 모멘텀 n=267, threshold=-0.09 |
4.5% | -64.5% | 0.30 | 0.07 | 6.6x | 189 | 73% |
| SMA 크로스오버 fast=26, slow=189 |
3.9% | -73.7% | 0.28 | 0.05 | 5.0x | 69 | 57% |
| Donchian 채널 돌파 entryN=30, exitN=74 |
2.2% | -88.7% | 0.22 | 0.02 | 2.5x | 101 | 74% |
| Parabolic SAR step=0.015, maxStep=0.24 |
0.4% | -88.6% | 0.15 | 0.00 | 1.2x | 635 | 53% |
| ADX / DI 방향성 period=26, threshold=25 |
0.6% | -50.7% | 0.11 | 0.01 | 1.3x | 98 | 20% |
| 볼린저 밴드 돌파 n=11, k=3.1 |
0.1% | -3.7% | 0.11 | 0.02 | 1.0x | 2 | 0% |
| Supertrend period=8, mult=4.6 |
-1.4% | -90.9% | 0.08 | -0.02 | 0.5x | 135 | 57% |
| Keltner 채널 돌파 emaPeriod=14, atrPeriod=9, mult=3.8 |
-0.0% | -6.3% | 0.00 | -0.00 | 1.0x | 4 | 0% |
| MACD fast=17, slow=42, signal=18 |
-4.1% | -93.2% | 0.00 | -0.04 | 0.2x | 533 | 50% |
| Buy and hold | 2.9% | -96.5% | 0.28 | 0.03 | 3.4x | 1 | 100% |
Rules of the top strategy
Uses two exponential averages (more weight on recent prices) and trades their crossover.
- Buy — Buy when the 53-day EMA crosses above the 238-day EMA
- Sell — Sell when the 53-day EMA falls below the 238-day EMA