Trend-Following Backtester · Guide · backtest 한국어
equity · US
Colony Bankcorp, Inc. backtest
10 trend-following strategies were compared on the full daily history of Colony Bankcorp, Inc.. 5 beat buy-and-hold CAGR; Donchian 채널 돌파 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is Donchian 채널 돌파 (CAGR 8.7%, MDD -48.1%).
Results by strategy
5 of 10 beat buy and hold (CAGR 2.7%, drawdown -94.3%).
Sharpe leader (same as main): Donchian 채널 돌파 — CAGR 8.7%, MDD -48.1%, Sharpe 0.44, 40% exposure.
Return/drawdown alternative: Donchian 채널 돌파 — CAGR is 6.0%p higher than buy and hold, while drawdown improves by 46.2%p (CAGR 8.7%, MDD -48.1%, exposure 40%).
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=101, exitN=48 |
8.7% | -48.1% | 0.44 | 0.18 | 10.6x | 29 | 40% |
| SMA 크로스오버 fast=43, slow=174 |
7.2% | -54.3% | 0.39 | 0.13 | 7.2x | 47 | 53% |
| EMA 크로스오버 fast=41, slow=198 |
5.9% | -61.8% | 0.34 | 0.10 | 5.1x | 25 | 57% |
| ADX / DI 방향성 period=46, threshold=21 |
3.8% | -51.0% | 0.29 | 0.07 | 2.9x | 34 | 13% |
| ROC 모멘텀 n=162, threshold=-0.11 |
3.1% | -77.6% | 0.26 | 0.04 | 2.4x | 127 | 70% |
| 볼린저 밴드 돌파 n=53, k=3 |
1.6% | -45.6% | 0.18 | 0.04 | 1.6x | 62 | 19% |
| Keltner 채널 돌파 emaPeriod=59, atrPeriod=16, mult=4 |
-0.3% | -78.6% | 0.10 | -0.00 | 0.9x | 72 | 20% |
| Supertrend period=28, mult=4.3 |
-4.7% | -97.1% | 0.02 | -0.05 | 0.3x | 151 | 54% |
| Parabolic SAR step=0.005, maxStep=0.26 |
-8.5% | -94.1% | -0.11 | -0.09 | 0.1x | 195 | 50% |
| MACD fast=22, slow=59, signal=17 |
-11.2% | -97.8% | -0.17 | -0.11 | 0.0x | 323 | 49% |
| Buy and hold | 2.7% | -94.3% | 0.29 | 0.03 | 2.1x | 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 101 days
- Sell — Sell when price breaks below the lowest low of the last 48 days