Trend-Following Backtester · Guide · backtest 한국어
equity · CA
RB Global, Inc. backtest
10 trend-following strategies were compared on the full daily history of RB Global, 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 11.6%, drawdown -39.9%).
Sharpe leader (same as main): SMA 크로스오버 — CAGR 5.8%, MDD -49.8%, Sharpe 0.36, 65% 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=51, slow=227 |
5.8% | -49.8% | 0.36 | 0.12 | 3.5x | 31 | 65% |
| Donchian 채널 돌파 entryN=90, exitN=53 |
3.5% | -34.0% | 0.28 | 0.10 | 2.2x | 41 | 46% |
| EMA 크로스오버 fast=43, slow=212 |
3.3% | -58.1% | 0.26 | 0.06 | 2.1x | 37 | 69% |
| Supertrend period=18, mult=4.6 |
1.5% | -63.7% | 0.18 | 0.02 | 1.4x | 89 | 57% |
| ROC 모멘텀 n=131, threshold=-0.04 |
1.2% | -78.4% | 0.17 | 0.02 | 1.3x | 200 | 72% |
| MACD fast=15, slow=29, signal=12 |
0.9% | -67.3% | 0.15 | 0.01 | 1.2x | 318 | 50% |
| Parabolic SAR step=0.01, maxStep=0.18 |
-0.3% | -58.7% | 0.09 | -0.01 | 0.9x | 296 | 51% |
| Keltner 채널 돌파 emaPeriod=55, atrPeriod=14, mult=1.4 |
-1.2% | -67.8% | 0.04 | -0.02 | 0.8x | 161 | 49% |
| ADX / DI 방향성 period=37, threshold=29 |
0.0% | -17.6% | 0.02 | 0.00 | 1.0x | 8 | 2% |
| 볼린저 밴드 돌파 n=49, k=2.1 |
-1.7% | -57.4% | -0.02 | -0.03 | 0.7x | 102 | 34% |
| Buy and hold | 11.6% | -39.9% | 0.51 | 0.29 | 11.5x | 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 51-day average price crosses above the 227-day average
- Sell — Sell (to cash) when the 51-day average falls below the 227-day average