Trend-Following Backtester · Guide · backtest 한국어
equity · US
First BanCorp. New backtest
10 trend-following strategies were compared on the full daily history of First BanCorp. New. 6 beat buy-and-hold CAGR; SMA 크로스오버 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is Keltner 채널 돌파 (CAGR 4.3%, MDD -57.8%).
Results by strategy
6 of 10 beat buy and hold (CAGR 3.2%, drawdown -99.6%).
Sharpe leader (same as main): SMA 크로스오버 — CAGR 12.0%, MDD -81.4%, Sharpe 0.53, 61% exposure.
Return/drawdown alternative: Keltner 채널 돌파 — CAGR is 8.8%p higher than buy and hold, while drawdown improves by 18.1%p (CAGR 4.3%, MDD -57.8%, exposure 34%).
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=42, slow=255 |
12.0% | -81.4% | 0.53 | 0.15 | 87.6x | 37 | 61% |
| EMA 크로스오버 fast=91, slow=194 |
11.6% | -83.0% | 0.52 | 0.14 | 77.4x | 27 | 62% |
| Donchian 채널 돌파 entryN=113, exitN=76 |
7.8% | -85.8% | 0.41 | 0.09 | 19.5x | 53 | 49% |
| Keltner 채널 돌파 emaPeriod=74, atrPeriod=14, mult=3.2 |
4.3% | -57.8% | 0.30 | 0.07 | 5.3x | 115 | 34% |
| 볼린저 밴드 돌파 n=59, k=2.3 |
3.6% | -63.3% | 0.27 | 0.06 | 4.0x | 125 | 31% |
| Supertrend period=9, mult=4 |
3.3% | -80.0% | 0.26 | 0.04 | 3.6x | 177 | 61% |
| ROC 모멘텀 n=77, threshold=-0.03 |
0.7% | -89.3% | 0.18 | 0.01 | 1.3x | 455 | 63% |
| Parabolic SAR step=0.005, maxStep=0.3 |
0.4% | -89.4% | 0.18 | 0.00 | 1.2x | 309 | 53% |
| ADX / DI 방향성 period=36, threshold=32 |
0.7% | -19.1% | 0.16 | 0.04 | 1.3x | 14 | 3% |
| MACD fast=18, slow=34, signal=16 |
-1.5% | -89.0% | 0.14 | -0.02 | 0.6x | 503 | 50% |
| Buy and hold | 3.2% | -99.6% | 0.31 | 0.03 | 3.5x | 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 42-day average price crosses above the 255-day average
- Sell — Sell (to cash) when the 42-day average falls below the 255-day average