Trend-Following Backtester · Guide · backtest 한국어
equity · US
United Bankshares, Inc. backtest
10 trend-following strategies were compared on the full daily history of United Bankshares, Inc.. 0 beat buy-and-hold CAGR; SMA 크로스오버 ranks first by Sharpe, matching the main backtester.
Results by strategy
0 of 10 beat buy and hold (CAGR 4.8%, drawdown -74.3%).
Sharpe leader (same as main): SMA 크로스오버 — CAGR 1.5%, MDD -69.3%, Sharpe 0.19, 57% 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 |
|---|---|---|---|---|---|---|---|
| SMA 크로스오버 fast=27, slow=136 |
1.5% | -69.3% | 0.19 | 0.02 | 1.8x | 101 | 57% |
| ADX / DI 방향성 period=30, threshold=29 |
1.0% | -22.0% | 0.16 | 0.05 | 1.5x | 36 | 10% |
| EMA 크로스오버 fast=55, slow=76 |
0.7% | -77.3% | 0.16 | 0.01 | 1.3x | 87 | 57% |
| Donchian 채널 돌파 entryN=53, exitN=99 |
0.0% | -82.1% | 0.15 | 0.00 | 1.0x | 67 | 68% |
| Parabolic SAR step=0.005, maxStep=0.26 |
-0.3% | -79.6% | 0.13 | -0.00 | 0.9x | 313 | 53% |
| Supertrend period=19, mult=3.1 |
-1.5% | -78.9% | 0.08 | -0.02 | 0.6x | 209 | 54% |
| 볼린저 밴드 돌파 n=23, k=3.4 |
-1.4% | -69.3% | -0.07 | -0.02 | 0.6x | 34 | 4% |
| ROC 모멘텀 n=116, threshold=-0.02 |
-6.7% | -97.2% | -0.09 | -0.07 | 0.1x | 439 | 64% |
| Keltner 채널 돌파 emaPeriod=71, atrPeriod=24, mult=2.5 |
-4.1% | -82.7% | -0.13 | -0.05 | 0.2x | 129 | 31% |
| MACD fast=20, slow=65, signal=22 |
-9.3% | -99.1% | -0.19 | -0.09 | 0.0x | 455 | 48% |
| Buy and hold | 4.8% | -74.3% | 0.31 | 0.06 | 6.2x | 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 27-day average price crosses above the 136-day average
- Sell — Sell (to cash) when the 27-day average falls below the 136-day average