Trend-Following Backtester · Guide · backtest 한국어
equity · US
Washington Trust Bancorp, Inc. backtest
10 trend-following strategies were compared on the full daily history of Washington Trust Bancorp, 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 5.5%, MDD -56.3%).
Results by strategy
2 of 10 beat buy and hold (CAGR 4.6%, drawdown -74.3%).
Sharpe leader (same as main): SMA 크로스오버 — CAGR 5.5%, MDD -56.3%, Sharpe 0.33, 56% exposure.
Return/drawdown alternative: SMA 크로스오버 — CAGR is 0.8%p higher than buy and hold, while drawdown improves by 18.0%p (CAGR 5.5%, MDD -56.3%, exposure 56%).
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=46, slow=148 |
5.5% | -56.3% | 0.33 | 0.10 | 8.0x | 71 | 56% |
| EMA 크로스오버 fast=50, slow=79 |
4.7% | -59.9% | 0.30 | 0.08 | 6.1x | 85 | 56% |
| Donchian 채널 돌파 entryN=117, exitN=226 |
4.6% | -75.5% | 0.30 | 0.06 | 5.7x | 23 | 69% |
| ROC 모멘텀 n=140, threshold=-0.15 |
1.8% | -84.1% | 0.22 | 0.02 | 2.0x | 191 | 85% |
| ADX / DI 방향성 period=39, threshold=27 |
0.9% | -69.4% | 0.13 | 0.01 | 1.4x | 8 | 15% |
| 볼린저 밴드 돌파 n=59, k=3.5 |
0.6% | -40.9% | 0.11 | 0.01 | 1.3x | 44 | 11% |
| Supertrend period=25, mult=4.7 |
-0.5% | -74.4% | 0.11 | -0.01 | 0.8x | 95 | 46% |
| MACD fast=32, slow=85, signal=70 |
-2.4% | -81.5% | 0.03 | -0.03 | 0.4x | 201 | 49% |
| Parabolic SAR step=0.005, maxStep=0.06 |
-6.9% | -97.6% | -0.14 | -0.07 | 0.1x | 311 | 51% |
| Keltner 채널 돌파 emaPeriod=38, atrPeriod=18, mult=4 |
-2.5% | -63.0% | -0.15 | -0.04 | 0.4x | 62 | 9% |
| Buy and hold | 4.6% | -74.3% | 0.31 | 0.06 | 5.9x | 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 46-day average price crosses above the 148-day average
- Sell — Sell (to cash) when the 46-day average falls below the 148-day average