Trend-Following Backtester · Guide · backtest 한국어
equity · US
Southern First Bancshares, Inc. backtest
10 trend-following strategies were compared on the full daily history of Southern First Bancshares, Inc.. 3 beat buy-and-hold CAGR; SMA 크로스오버 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is SMA 크로스오버 (CAGR 15.6%, MDD -38.9%).
Results by strategy
3 of 10 beat buy and hold (CAGR 10.1%, drawdown -79.1%).
Sharpe leader (same as main): SMA 크로스오버 — CAGR 15.6%, MDD -38.9%, Sharpe 0.63, 65% exposure.
Return/drawdown alternative: SMA 크로스오버 — CAGR is 5.6%p higher than buy and hold, while drawdown improves by 40.2%p (CAGR 15.6%, MDD -38.9%, exposure 65%).
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=18, slow=120 |
15.6% | -38.9% | 0.63 | 0.40 | 48.7x | 51 | 65% |
| EMA 크로스오버 fast=42, slow=97 |
14.3% | -41.2% | 0.60 | 0.35 | 36.2x | 35 | 66% |
| Donchian 채널 돌파 entryN=58, exitN=50 |
11.2% | -58.7% | 0.50 | 0.19 | 17.0x | 49 | 65% |
| ROC 모멘텀 n=129, threshold=-0.1 |
10.0% | -62.3% | 0.46 | 0.16 | 12.9x | 147 | 76% |
| Keltner 채널 돌파 emaPeriod=209, atrPeriod=23, mult=1 |
8.6% | -49.7% | 0.43 | 0.17 | 9.1x | 97 | 63% |
| Supertrend period=22, mult=5 |
6.9% | -65.5% | 0.37 | 0.10 | 5.9x | 89 | 62% |
| ADX / DI 방향성 period=37, threshold=17 |
5.9% | -57.6% | 0.37 | 0.10 | 4.6x | 74 | 29% |
| 볼린저 밴드 돌파 n=56, k=2.2 |
4.3% | -42.8% | 0.29 | 0.10 | 3.0x | 109 | 37% |
| Parabolic SAR step=0.005, maxStep=0.24 |
3.6% | -60.5% | 0.26 | 0.06 | 2.6x | 186 | 52% |
| MACD fast=21, slow=72, signal=23 |
2.6% | -73.6% | 0.23 | 0.04 | 2.0x | 238 | 48% |
| Buy and hold | 10.1% | -79.1% | 0.44 | 0.13 | 13.0x | 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 18-day average price crosses above the 120-day average
- Sell — Sell (to cash) when the 18-day average falls below the 120-day average