Trend-Following Backtester · Guide · backtest 한국어
equity · US
Equity Bancshares, Inc. backtest
10 trend-following strategies were compared on the full daily history of Equity Bancshares, Inc.. 5 beat buy-and-hold CAGR; SMA 크로스오버 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is SMA 크로스오버 (CAGR 18.0%, MDD -29.1%).
Results by strategy
5 of 10 beat buy and hold (CAGR 7.2%, drawdown -69.8%).
Sharpe leader (same as main): SMA 크로스오버 — CAGR 18.0%, MDD -29.1%, Sharpe 0.87, 56% exposure.
Return/drawdown alternative: SMA 크로스오버 — CAGR is 10.7%p higher than buy and hold, while drawdown improves by 40.7%p (CAGR 18.0%, MDD -29.1%, 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=44, slow=83 |
18.0% | -29.1% | 0.87 | 0.62 | 5.9x | 29 | 56% |
| Donchian 채널 돌파 entryN=40, exitN=72 |
13.3% | -37.4% | 0.62 | 0.36 | 3.8x | 13 | 73% |
| EMA 크로스오버 fast=28, slow=161 |
11.1% | -36.3% | 0.60 | 0.30 | 3.1x | 15 | 59% |
| ROC 모멘텀 n=148, threshold=-0.02 |
10.4% | -36.5% | 0.55 | 0.28 | 2.9x | 65 | 62% |
| ADX / DI 방향성 period=34, threshold=35 |
0.9% | -1.0% | 0.50 | 0.91 | 1.1x | 2 | 0% |
| 볼린저 밴드 돌파 n=51, k=3.4 |
5.8% | -26.6% | 0.48 | 0.22 | 1.8x | 16 | 16% |
| Supertrend period=12, mult=4.9 |
7.4% | -43.2% | 0.44 | 0.17 | 2.2x | 25 | 58% |
| Keltner 채널 돌파 emaPeriod=76, atrPeriod=14, mult=1.8 |
6.5% | -39.2% | 0.42 | 0.17 | 2.0x | 43 | 44% |
| MACD fast=7, slow=18, signal=14 |
-7.1% | -65.6% | -0.19 | -0.11 | 0.5x | 247 | 49% |
| Parabolic SAR step=0.025, maxStep=0.2 |
-9.4% | -79.6% | -0.30 | -0.12 | 0.3x | 279 | 51% |
| Buy and hold | 7.2% | -69.8% | 0.38 | 0.10 | 2.1x | 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 44-day average price crosses above the 83-day average
- Sell — Sell (to cash) when the 44-day average falls below the 83-day average