Trend-Following Backtester · Guide · backtest 한국어
equity · US
SmartFinancial, Inc. backtest
10 trend-following strategies were compared on the full daily history of SmartFinancial, Inc.. 3 beat buy-and-hold CAGR; SMA 크로스오버 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is SMA 크로스오버 (CAGR 10.0%, MDD -63.2%).
Results by strategy
3 of 10 beat buy and hold (CAGR 4.9%, drawdown -94.8%).
Sharpe leader (same as main): SMA 크로스오버 — CAGR 10.0%, MDD -63.2%, Sharpe 0.43, 57% exposure.
Return/drawdown alternative: SMA 크로스오버 — CAGR is 5.2%p higher than buy and hold, while drawdown improves by 31.7%p (CAGR 10.0%, MDD -63.2%, exposure 57%).
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=43, slow=124 |
10.0% | -63.2% | 0.43 | 0.16 | 8.8x | 41 | 57% |
| EMA 크로스오버 fast=36, slow=67 |
8.3% | -71.0% | 0.39 | 0.12 | 6.1x | 53 | 57% |
| Donchian 채널 돌파 entryN=79, exitN=65 |
5.6% | -66.0% | 0.33 | 0.08 | 3.4x | 35 | 60% |
| ROC 모멘텀 n=128, threshold=-0.01 |
-1.6% | -88.9% | 0.15 | -0.02 | 0.7x | 221 | 59% |
| ADX / DI 방향성 period=44, threshold=20 |
0.7% | -33.3% | 0.12 | 0.02 | 1.2x | 29 | 10% |
| Parabolic SAR step=0.005, maxStep=0.36 |
-4.4% | -93.6% | 0.12 | -0.05 | 0.4x | 141 | 54% |
| 볼린저 밴드 돌파 n=58, k=3.3 |
-3.0% | -80.6% | 0.05 | -0.04 | 0.5x | 42 | 19% |
| Keltner 채널 돌파 emaPeriod=55, atrPeriod=21, mult=3.8 |
-7.2% | -90.8% | -0.05 | -0.08 | 0.2x | 79 | 24% |
| MACD fast=23, slow=59, signal=26 |
-12.9% | -98.5% | -0.08 | -0.13 | 0.0x | 205 | 51% |
| Supertrend period=18, mult=5 |
-20.1% | -99.8% | -0.35 | -0.20 | 0.0x | 143 | 55% |
| Buy and hold | 4.9% | -94.8% | 0.37 | 0.05 | 3.0x | 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 43-day average price crosses above the 124-day average
- Sell — Sell (to cash) when the 43-day average falls below the 124-day average