Trend-Following Backtester · Guide · backtest 한국어
equity · US
TriCo Bancshares backtest
10 trend-following strategies were compared on the full daily history of TriCo Bancshares. 0 beat buy-and-hold CAGR; Donchian 채널 돌파 ranks first by Sharpe, matching the main backtester.
Results by strategy
0 of 10 beat buy and hold (CAGR 7.9%, drawdown -67.3%).
Sharpe leader (same as main): Donchian 채널 돌파 — CAGR 5.6%, MDD -69.6%, Sharpe 0.33, 74% exposure.
No strategy retained at least 75% of buy-and-hold CAGR while reducing drawdown by both 20% relatively and 5 percentage points absolutely.
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 |
|---|---|---|---|---|---|---|---|
| Donchian 채널 돌파 entryN=48, exitN=100 |
5.6% | -69.6% | 0.33 | 0.08 | 6.2x | 41 | 74% |
| SMA 크로스오버 fast=39, slow=147 |
4.7% | -68.9% | 0.30 | 0.07 | 4.6x | 61 | 61% |
| EMA 크로스오버 fast=58, slow=105 |
2.9% | -74.2% | 0.24 | 0.04 | 2.6x | 69 | 61% |
| ROC 모멘텀 n=88, threshold=-0.13 |
1.3% | -77.0% | 0.21 | 0.02 | 1.5x | 231 | 87% |
| Supertrend period=10, mult=5 |
-0.8% | -71.3% | 0.13 | -0.01 | 0.8x | 105 | 55% |
| ADX / DI 방향성 period=27, threshold=39 |
0.1% | -3.8% | 0.11 | 0.03 | 1.0x | 2 | 0% |
| Parabolic SAR step=0.005, maxStep=0.16 |
-3.5% | -84.1% | 0.02 | -0.04 | 0.3x | 275 | 53% |
| 볼린저 밴드 돌파 n=59, k=2.5 |
-2.3% | -70.4% | -0.03 | -0.03 | 0.5x | 93 | 24% |
| Keltner 채널 돌파 emaPeriod=42, atrPeriod=37, mult=3.6 |
-2.2% | -68.9% | -0.04 | -0.03 | 0.5x | 75 | 15% |
| MACD fast=28, slow=46, signal=16 |
-6.4% | -92.3% | -0.10 | -0.07 | 0.1x | 353 | 50% |
| Buy and hold | 7.9% | -67.3% | 0.39 | 0.12 | 12.7x | 1 | 100% |
Rules of the top strategy
A new high means a trend starting; a new low means it’s over (turtle-trading style).
- Buy — Buy on a breakout above the highest high of the last 48 days
- Sell — Sell when price breaks below the lowest low of the last 100 days