Trend-Following Backtester · Guide · backtest 한국어
equity · US
Glacier Bancorp, Inc. backtest
10 trend-following strategies were compared on the full daily history of Glacier Bancorp, Inc.. 0 beat buy-and-hold CAGR; SMA 크로스오버 ranks first by Sharpe, matching the main backtester.
Results by strategy
0 of 10 beat buy and hold (CAGR 12.8%, drawdown -67.2%).
Sharpe leader (same as main): SMA 크로스오버 — CAGR 8.9%, MDD -57.1%, Sharpe 0.42, 61% 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 |
|---|---|---|---|---|---|---|---|
| SMA 크로스오버 fast=85, slow=145 |
8.9% | -57.1% | 0.42 | 0.16 | 37.2x | 81 | 61% |
| EMA 크로스오버 fast=43, slow=194 |
7.3% | -63.4% | 0.38 | 0.11 | 19.6x | 67 | 67% |
| Supertrend period=33, mult=4.9 |
6.2% | -59.4% | 0.35 | 0.10 | 12.8x | 99 | 62% |
| Donchian 채널 돌파 entryN=53, exitN=92 |
5.8% | -82.0% | 0.34 | 0.07 | 10.9x | 67 | 72% |
| ADX / DI 방향성 period=39, threshold=39 |
1.2% | -12.2% | 0.23 | 0.10 | 1.7x | 2 | 2% |
| 볼린저 밴드 돌파 n=58, k=2.8 |
2.4% | -36.1% | 0.22 | 0.07 | 2.7x | 74 | 19% |
| ROC 모멘텀 n=63, threshold=-0.12 |
-0.1% | -87.1% | 0.20 | -0.00 | 1.0x | 377 | 89% |
| Parabolic SAR step=0.005, maxStep=0.3 |
1.0% | -86.2% | 0.19 | 0.01 | 1.6x | 324 | 56% |
| Keltner 채널 돌파 emaPeriod=69, atrPeriod=19, mult=3.7 |
-0.3% | -57.6% | 0.10 | -0.01 | 0.9x | 106 | 26% |
| MACD fast=20, slow=51, signal=51 |
-7.2% | -98.7% | -0.09 | -0.07 | 0.0x | 364 | 49% |
| Buy and hold | 12.8% | -67.2% | 0.49 | 0.19 | 166.3x | 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 85-day average price crosses above the 145-day average
- Sell — Sell (to cash) when the 85-day average falls below the 145-day average