Trend-Following Backtester · Guide · backtest 한국어
equity · US
Unity Bancorp, Inc. backtest
10 trend-following strategies were compared on the full daily history of Unity Bancorp, Inc.. 4 beat buy-and-hold CAGR; Donchian 채널 돌파 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is EMA 크로스오버 (CAGR 14.0%, MDD -47.7%).
Results by strategy
4 of 10 beat buy and hold (CAGR 7.5%, drawdown -88.5%).
Sharpe leader (same as main): Donchian 채널 돌파 — CAGR 15.8%, MDD -52.5%, Sharpe 0.70, 64% exposure.
Return/drawdown alternative: EMA 크로스오버 — CAGR is 8.3%p higher than buy and hold, while drawdown improves by 36.0%p (CAGR 14.0%, MDD -47.7%, exposure 64%).
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=75, exitN=117 |
15.8% | -52.5% | 0.70 | 0.30 | 75.9x | 13 | 64% |
| EMA 크로스오버 fast=87, slow=149 |
14.0% | -47.7% | 0.64 | 0.29 | 47.5x | 21 | 64% |
| SMA 크로스오버 fast=53, slow=223 |
13.1% | -52.9% | 0.61 | 0.25 | 37.5x | 31 | 63% |
| ROC 모멘텀 n=142, threshold=-0.04 |
9.5% | -63.7% | 0.47 | 0.15 | 14.6x | 205 | 69% |
| Supertrend period=42, mult=5 |
4.5% | -63.6% | 0.30 | 0.07 | 3.7x | 83 | 61% |
| Keltner 채널 돌파 emaPeriod=62, atrPeriod=14, mult=3.4 |
1.6% | -42.5% | 0.18 | 0.04 | 1.6x | 74 | 28% |
| ADX / DI 방향성 period=51, threshold=12 |
1.5% | -54.7% | 0.18 | 0.03 | 1.6x | 140 | 36% |
| Parabolic SAR step=0.005, maxStep=0.36 |
0.2% | -57.1% | 0.14 | 0.00 | 1.1x | 204 | 52% |
| 볼린저 밴드 돌파 n=57, k=2.3 |
0.5% | -41.0% | 0.12 | 0.01 | 1.1x | 109 | 33% |
| MACD fast=22, slow=42, signal=20 |
-7.0% | -93.3% | -0.11 | -0.07 | 0.1x | 323 | 48% |
| Buy and hold | 7.5% | -88.5% | 0.39 | 0.08 | 8.5x | 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 75 days
- Sell — Sell when price breaks below the lowest low of the last 117 days