Trend-Following Backtester · Guide · backtest 한국어
equity · US
USCB Financial Holdings, Inc. backtest
10 trend-following strategies were compared on the full daily history of USCB Financial Holdings, Inc.. 0 beat buy-and-hold CAGR; Keltner 채널 돌파 ranks first by Sharpe, matching the main backtester.
Results by strategy
0 of 10 beat buy and hold (CAGR 15.0%, drawdown -44.2%).
Sharpe leader (same as main): Keltner 채널 돌파 — CAGR 5.9%, MDD -9.8%, Sharpe 0.54, 4% exposure.
CAGR reference leader: Supertrend — CAGR 10.1%, MDD -38.0%, exposure 73%.
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 |
|---|---|---|---|---|---|---|---|
| Keltner 채널 돌파 emaPeriod=11, atrPeriod=28, mult=2.2 |
5.9% | -9.8% | 0.54 | 0.61 | 1.3x | 7 | 4% |
| SMA 크로스오버 fast=49, slow=163 |
9.5% | -24.4% | 0.48 | 0.39 | 1.6x | 9 | 55% |
| Supertrend period=12, mult=4.7 |
10.1% | -38.0% | 0.46 | 0.26 | 1.6x | 9 | 73% |
| EMA 크로스오버 fast=20, slow=218 |
8.1% | -27.6% | 0.43 | 0.29 | 1.5x | 7 | 54% |
| ADX / DI 방향성 period=35, threshold=30 |
4.1% | -16.8% | 0.41 | 0.25 | 1.2x | 2 | 4% |
| Donchian 채널 돌파 entryN=115, exitN=88 |
6.9% | -24.1% | 0.40 | 0.29 | 1.4x | 3 | 48% |
| ROC 모멘텀 n=44, threshold=-0.11 |
5.1% | -45.4% | 0.31 | 0.11 | 1.3x | 51 | 87% |
| 볼린저 밴드 돌파 n=59, k=1.9 |
0.2% | -32.2% | 0.13 | 0.01 | 1.0x | 21 | 31% |
| MACD fast=19, slow=48, signal=19 |
-3.4% | -42.2% | -0.00 | -0.08 | 0.8x | 55 | 44% |
| Parabolic SAR step=0.02, maxStep=0.14 |
-5.7% | -54.0% | -0.09 | -0.10 | 0.7x | 105 | 44% |
| Buy and hold | 15.0% | -44.2% | 0.56 | 0.34 | 2.0x | 1 | 100% |
Rules of the top strategy
Breaking above the channel top (average plus a multiple of volatility) signals an upside breakout.
- Buy — Buy when the close breaks above the 11-day average + 2.2× volatility (Keltner top)
- Sell — Sell when the close falls back to the 11-day average