Trend-Following Backtester · Guide · backtest 한국어
equity · US
Dime Commercial Bancshares, Inc. backtest
10 trend-following strategies were compared on the full daily history of Dime Commercial Bancshares, Inc.. 0 beat buy-and-hold CAGR; 볼린저 밴드 돌파 ranks first by Sharpe, matching the main backtester.
Results by strategy
0 of 10 beat buy and hold (CAGR 3.8%, drawdown -60.0%).
Sharpe leader (same as main): 볼린저 밴드 돌파 — CAGR 2.3%, MDD -48.1%, Sharpe 0.23, 18% exposure.
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 |
|---|---|---|---|---|---|---|---|
| 볼린저 밴드 돌파 n=76, k=2.8 |
2.3% | -48.1% | 0.23 | 0.05 | 1.9x | 38 | 18% |
| SMA 크로스오버 fast=58, slow=84 |
0.6% | -78.4% | 0.14 | 0.01 | 1.2x | 107 | 54% |
| Donchian 채널 돌파 entryN=103, exitN=39 |
-0.1% | -72.9% | 0.08 | -0.00 | 1.0x | 57 | 34% |
| EMA 크로스오버 fast=32, slow=60 |
-0.7% | -80.6% | 0.07 | -0.01 | 0.8x | 99 | 51% |
| ADX / DI 방향성 period=38, threshold=22 |
-0.3% | -29.8% | 0.02 | -0.01 | 0.9x | 26 | 7% |
| Keltner 채널 돌파 emaPeriod=44, atrPeriod=8, mult=3.9 |
-1.2% | -63.3% | -0.04 | -0.02 | 0.7x | 54 | 12% |
| Parabolic SAR step=0.01, maxStep=0.18 |
-5.5% | -85.8% | -0.12 | -0.06 | 0.2x | 338 | 53% |
| ROC 모멘텀 n=112, threshold=0.14 |
-3.2% | -80.0% | -0.14 | -0.04 | 0.4x | 199 | 20% |
| Supertrend period=13, mult=3.5 |
-6.4% | -93.1% | -0.18 | -0.07 | 0.2x | 185 | 49% |
| MACD fast=15, slow=41, signal=13 |
-7.4% | -93.6% | -0.21 | -0.08 | 0.1x | 410 | 50% |
| Buy and hold | 3.8% | -60.0% | 0.28 | 0.06 | 2.8x | 1 | 100% |
Rules of the top strategy
Breaking above the upper band (average plus a multiple of volatility) signals a strong move up.
- Buy — Buy when the close breaks above the upper band of the 76-day average (2.8× volatility)
- Sell — Sell when the close falls back to the 76-day middle average