Trend-Following Backtester · Guide · backtest 한국어
equity · US
KeyCorp backtest
10 trend-following strategies were compared on the full daily history of KeyCorp. 3 beat buy-and-hold CAGR; SMA 크로스오버 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is SMA 크로스오버 (CAGR 5.5%, MDD -52.3%).
Results by strategy
3 of 10 beat buy and hold (CAGR 3.4%, drawdown -89.3%).
Sharpe leader (same as main): SMA 크로스오버 — CAGR 5.5%, MDD -52.3%, Sharpe 0.37, 61% exposure.
Return/drawdown alternative: SMA 크로스오버 — CAGR is 2.1%p higher than buy and hold, while drawdown improves by 37.0%p (CAGR 5.5%, MDD -52.3%, exposure 61%).
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=8, slow=205 |
5.5% | -52.3% | 0.37 | 0.10 | 7.9x | 89 | 61% |
| EMA 크로스오버 fast=26, slow=188 |
4.9% | -64.1% | 0.34 | 0.08 | 6.4x | 65 | 63% |
| ROC 모멘텀 n=130, threshold=-0.09 |
3.4% | -79.7% | 0.26 | 0.04 | 3.7x | 239 | 76% |
| Donchian 채널 돌파 entryN=24, exitN=75 |
2.4% | -89.8% | 0.23 | 0.03 | 2.5x | 93 | 77% |
| 볼린저 밴드 돌파 n=46, k=3.5 |
1.2% | -30.2% | 0.20 | 0.04 | 1.6x | 20 | 6% |
| Keltner 채널 돌파 emaPeriod=66, atrPeriod=20, mult=2.9 |
1.3% | -54.1% | 0.16 | 0.02 | 1.7x | 128 | 33% |
| Supertrend period=11, mult=5 |
0.3% | -79.5% | 0.13 | 0.00 | 1.1x | 121 | 59% |
| ADX / DI 방향성 period=45, threshold=22 |
0.5% | -30.1% | 0.12 | 0.02 | 1.2x | 16 | 4% |
| Parabolic SAR step=0.005, maxStep=0.26 |
-5.0% | -94.9% | -0.08 | -0.05 | 0.1x | 342 | 55% |
| MACD fast=12, slow=43, signal=19 |
-7.6% | -97.3% | -0.17 | -0.08 | 0.0x | 510 | 51% |
| Buy and hold | 3.4% | -89.3% | 0.28 | 0.04 | 3.7x | 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 8-day average price crosses above the 205-day average
- Sell — Sell (to cash) when the 8-day average falls below the 205-day average