Trend-Following Backtester · Guide · backtest 한국어
equity · GB
Reckitt Benckiser Group plc backtest
10 trend-following strategies were compared on the full daily history of Reckitt Benckiser Group plc. 0 beat buy-and-hold CAGR; ROC 모멘텀 ranks first by Sharpe, matching the main backtester. Its 100% market exposure makes it hold-like.
Results by strategy
0 of 10 beat buy and hold (CAGR 7.0%, drawdown -66.2%).
Sharpe leader (same as main): ROC 모멘텀 — CAGR 6.9%, MDD -64.2%, Sharpe 0.40, 100% exposure. With at least 95% exposure, it should be treated as hold-like, not strong evidence of timing skill.
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 |
|---|---|---|---|---|---|---|---|
| ROC 모멘텀 Hold-like · Exposure 100% n=1, threshold=-0.08 |
6.9% | -64.2% | 0.40 | 0.11 | 12.8x | 19 | 100% |
| EMA 크로스오버 fast=59, slow=203 |
2.6% | -63.2% | 0.23 | 0.04 | 2.6x | 50 | 68% |
| 볼린저 밴드 돌파 n=63, k=3.5 |
1.1% | -32.9% | 0.22 | 0.03 | 1.5x | 22 | 9% |
| SMA 크로스오버 fast=53, slow=211 |
2.0% | -63.2% | 0.20 | 0.03 | 2.1x | 62 | 65% |
| Donchian 채널 돌파 entryN=132, exitN=50 |
1.7% | -39.7% | 0.20 | 0.04 | 1.9x | 62 | 41% |
| Keltner 채널 돌파 emaPeriod=12, atrPeriod=18, mult=2.7 |
0.3% | -25.2% | 0.09 | 0.01 | 1.1x | 102 | 7% |
| Supertrend period=11, mult=4.3 |
-0.1% | -58.2% | 0.07 | -0.00 | 1.0x | 201 | 57% |
| ADX / DI 방향성 period=37, threshold=22 |
-0.2% | -24.1% | -0.01 | -0.01 | 0.9x | 31 | 6% |
| MACD fast=52, slow=57, signal=27 |
-2.2% | -76.6% | -0.06 | -0.03 | 0.4x | 257 | 51% |
| Parabolic SAR step=0.005, maxStep=0.36 |
-3.8% | -85.6% | -0.15 | -0.04 | 0.2x | 353 | 56% |
| Buy and hold | 7.0% | -66.2% | 0.40 | 0.11 | 13.0x | 1 | 100% |
Rules of the top strategy
Rides the trend when recent return (momentum) over a window is above a threshold.
- Buy — Buy when the last 1-day return is greater than -8%
- Sell — Sell when the 1-day return drops to -8% or below