Trend-Following Backtester · Guide · backtest 한국어
equity · US
Ameris Bancorp backtest
10 trend-following strategies were compared on the full daily history of Ameris Bancorp. 2 beat buy-and-hold CAGR; EMA 크로스오버 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is SMA 크로스오버 (CAGR 10.3%, MDD -41.6%).
Results by strategy
2 of 10 beat buy and hold (CAGR 9.1%, drawdown -87.4%).
Sharpe leader (same as main): EMA 크로스오버 — CAGR 10.8%, MDD -44.0%, Sharpe 0.53, 68% exposure.
Return/drawdown alternative: SMA 크로스오버 — CAGR is 1.7%p higher than buy and hold, while drawdown improves by 43.4%p (CAGR 10.3%, MDD -41.6%, 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 |
|---|---|---|---|---|---|---|---|
| EMA 크로스오버 fast=78, slow=219 |
10.8% | -44.0% | 0.53 | 0.25 | 27.1x | 17 | 68% |
| SMA 크로스오버 fast=52, slow=155 |
10.3% | -41.6% | 0.51 | 0.25 | 23.7x | 49 | 64% |
| Donchian 채널 돌파 entryN=108, exitN=66 |
7.5% | -49.5% | 0.43 | 0.15 | 10.3x | 41 | 55% |
| Supertrend period=28, mult=4.9 |
4.7% | -63.6% | 0.30 | 0.07 | 4.4x | 77 | 60% |
| ROC 모멘텀 n=172, threshold=-0.05 |
3.7% | -74.6% | 0.27 | 0.05 | 3.3x | 223 | 73% |
| 볼린저 밴드 돌파 n=77, k=3.1 |
0.7% | -55.0% | 0.12 | 0.01 | 1.3x | 52 | 19% |
| Parabolic SAR step=0.005, maxStep=0.18 |
-1.1% | -84.8% | 0.11 | -0.01 | 0.7x | 270 | 56% |
| Keltner 채널 돌파 emaPeriod=57, atrPeriod=11, mult=2.8 |
-0.2% | -63.7% | 0.07 | -0.00 | 0.9x | 120 | 30% |
| MACD fast=17, slow=48, signal=26 |
-3.1% | -90.0% | 0.04 | -0.03 | 0.4x | 330 | 49% |
| ADX / DI 방향성 period=28, threshold=13 |
-3.2% | -82.0% | -0.05 | -0.04 | 0.4x | 296 | 36% |
| Buy and hold | 9.1% | -87.4% | 0.42 | 0.10 | 16.5x | 1 | 100% |
Rules of the top strategy
Uses two exponential averages (more weight on recent prices) and trades their crossover.
- Buy — Buy when the 78-day EMA crosses above the 219-day EMA
- Sell — Sell when the 78-day EMA falls below the 219-day EMA