Trend-Following Backtester · Guide · backtest 한국어
equity · US
Central Pacific Financial Corp New backtest
10 trend-following strategies were compared on the full daily history of Central Pacific Financial Corp New. 7 beat buy-and-hold CAGR; EMA 크로스오버 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is ADX / DI 방향성 (CAGR 0.4%, MDD -4.0%).
Results by strategy
7 of 10 beat buy and hold (CAGR -0.9%, drawdown -98.8%).
Sharpe leader (same as main): EMA 크로스오버 — CAGR 5.8%, MDD -52.4%, Sharpe 0.34, 60% exposure.
Return/drawdown alternative: ADX / DI 방향성 — CAGR is 6.7%p higher than buy and hold, while drawdown improves by 46.5%p (CAGR 0.4%, MDD -4.0%, exposure 0%).
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=49, slow=208 |
5.8% | -52.4% | 0.34 | 0.11 | 9.0x | 53 | 60% |
| SMA 크로스오버 fast=48, slow=215 |
5.6% | -51.3% | 0.33 | 0.11 | 8.2x | 53 | 57% |
| ADX / DI 방향성 period=48, threshold=34 |
0.4% | -4.0% | 0.28 | 0.10 | 1.2x | 2 | 0% |
| ROC 모멘텀 n=166, threshold=-0.15 |
3.2% | -83.4% | 0.26 | 0.04 | 3.5x | 131 | 81% |
| Donchian 채널 돌파 entryN=79, exitN=46 |
1.1% | -85.6% | 0.18 | 0.01 | 1.5x | 77 | 45% |
| MACD fast=39, slow=68, signal=40 |
-2.4% | -91.7% | 0.13 | -0.03 | 0.4x | 209 | 52% |
| 볼린저 밴드 돌파 n=25, k=3.5 |
0.5% | -63.8% | 0.11 | 0.01 | 1.2x | 24 | 3% |
| Parabolic SAR step=0.005, maxStep=0.28 |
-2.9% | -90.2% | 0.09 | -0.03 | 0.3x | 297 | 51% |
| Keltner 채널 돌파 emaPeriod=53, atrPeriod=27, mult=3.6 |
-0.9% | -73.6% | 0.08 | -0.01 | 0.7x | 93 | 20% |
| Supertrend period=33, mult=5 |
-3.0% | -93.9% | 0.07 | -0.03 | 0.3x | 129 | 57% |
| Buy and hold | -0.9% | -98.8% | 0.23 | -0.01 | 0.7x | 1 | 100% |
Rules of the top strategy
Uses two exponential averages (more weight on recent prices) and trades their crossover.
- Buy — Buy when the 49-day EMA crosses above the 208-day EMA
- Sell — Sell when the 49-day EMA falls below the 208-day EMA