Trend-Following Backtester · Guide · backtest 한국어
equity · US
Shore Bancshares, Inc. backtest
10 trend-following strategies were compared on the full daily history of Shore Bancshares, Inc.. 2 beat buy-and-hold CAGR; SMA 크로스오버 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is SMA 크로스오버 (CAGR 7.0%, MDD -49.0%).
Results by strategy
2 of 10 beat buy and hold (CAGR 3.6%, drawdown -87.3%).
Sharpe leader (same as main): SMA 크로스오버 — CAGR 7.0%, MDD -49.0%, Sharpe 0.39, 57% exposure.
Return/drawdown alternative: SMA 크로스오버 — CAGR is 3.4%p higher than buy and hold, while drawdown improves by 38.3%p (CAGR 7.0%, MDD -49.0%, exposure 57%).
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=42, slow=146 |
7.0% | -49.0% | 0.39 | 0.14 | 5.5x | 47 | 57% |
| ADX / DI 방향성 period=37, threshold=36 |
1.0% | -7.6% | 0.33 | 0.13 | 1.3x | 4 | 1% |
| 볼린저 밴드 돌파 n=38, k=3.5 |
2.2% | -23.9% | 0.33 | 0.09 | 1.7x | 22 | 7% |
| EMA 크로스오버 fast=39, slow=120 |
4.4% | -70.1% | 0.30 | 0.06 | 3.0x | 45 | 56% |
| Donchian 채널 돌파 entryN=70, exitN=54 |
3.5% | -80.3% | 0.27 | 0.04 | 2.4x | 39 | 52% |
| Keltner 채널 돌파 emaPeriod=21, atrPeriod=23, mult=3.8 |
1.4% | -15.8% | 0.25 | 0.09 | 1.4x | 16 | 3% |
| ROC 모멘텀 n=68, threshold=-0.13 |
-0.2% | -93.1% | 0.16 | -0.00 | 0.9x | 167 | 84% |
| Supertrend period=26, mult=4.2 |
-0.3% | -80.6% | 0.13 | -0.00 | 0.9x | 71 | 56% |
| MACD fast=24, slow=33, signal=24 |
-9.6% | -96.8% | -0.24 | -0.10 | 0.1x | 297 | 51% |
| Parabolic SAR step=0.015, maxStep=0.16 |
-10.6% | -98.2% | -0.27 | -0.11 | 0.1x | 445 | 54% |
| Buy and hold | 3.6% | -87.3% | 0.29 | 0.04 | 2.4x | 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 42-day average price crosses above the 146-day average
- Sell — Sell (to cash) when the 42-day average falls below the 146-day average