Trend-Following Backtester · Guide · backtest 한국어
equity · FR
Rubis SCA backtest
10 trend-following strategies were compared on the full daily history of Rubis SCA. 0 beat buy-and-hold CAGR; EMA 크로스오버 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is EMA 크로스오버 (CAGR 6.7%, MDD -38.8%).
Results by strategy
0 of 10 beat buy and hold (CAGR 6.8%, drawdown -69.6%).
Sharpe leader (same as main): EMA 크로스오버 — CAGR 6.7%, MDD -38.8%, Sharpe 0.46, 62% exposure.
Return/drawdown alternative: EMA 크로스오버 — CAGR is 0.0%p lower than buy and hold, while drawdown improves by 30.8%p (CAGR 6.7%, MDD -38.8%, exposure 62%).
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 |
|---|---|---|---|---|---|---|---|
| EMA 크로스오버 fast=42, slow=89 |
6.7% | -38.8% | 0.46 | 0.17 | 5.7x | 50 | 62% |
| SMA 크로스오버 fast=31, slow=132 |
5.2% | -55.4% | 0.38 | 0.09 | 3.9x | 60 | 60% |
| ADX / DI 방향성 period=36, threshold=17 |
3.1% | -22.9% | 0.36 | 0.14 | 2.3x | 78 | 18% |
| 볼린저 밴드 돌파 n=42, k=3.4 |
2.0% | -19.8% | 0.35 | 0.10 | 1.7x | 22 | 8% |
| Donchian 채널 돌파 entryN=119, exitN=77 |
4.1% | -56.3% | 0.33 | 0.07 | 2.9x | 36 | 50% |
| Keltner 채널 돌파 emaPeriod=35, atrPeriod=8, mult=3.7 |
2.3% | -24.2% | 0.33 | 0.09 | 1.8x | 38 | 11% |
| Supertrend period=29, mult=4.9 |
2.7% | -50.2% | 0.24 | 0.05 | 2.0x | 86 | 61% |
| ROC 모멘텀 n=159, threshold=-0.07 |
2.7% | -70.0% | 0.24 | 0.04 | 2.1x | 159 | 73% |
| Parabolic SAR step=0.005, maxStep=0.26 |
-0.8% | -58.5% | 0.04 | -0.01 | 0.8x | 225 | 57% |
| MACD fast=19, slow=35, signal=18 |
-1.7% | -56.1% | -0.01 | -0.03 | 0.6x | 299 | 50% |
| Buy and hold | 6.8% | -69.6% | 0.38 | 0.10 | 5.7x | 1 | 100% |
Rules of the top strategy
Uses two exponential averages (more weight on recent prices) and trades their crossover.
- Buy — Buy when the 42-day EMA crosses above the 89-day EMA
- Sell — Sell when the 42-day EMA falls below the 89-day EMA