Trend-Following Backtester · Guide · backtest 한국어
equity · JP
Rorze Corporation backtest
10 trend-following strategies were compared on the full daily history of Rorze Corporation. 5 beat buy-and-hold CAGR; Parabolic SAR ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is 볼린저 밴드 돌파 (CAGR 19.7%, MDD -63.2%).
Results by strategy
5 of 10 beat buy and hold (CAGR 18.6%, drawdown -95.7%).
Sharpe leader (same as main): Parabolic SAR — CAGR 23.9%, MDD -70.3%, Sharpe 0.67, 50% exposure.
Return/drawdown alternative: 볼린저 밴드 돌파 — CAGR is 5.2%p higher than buy and hold, while drawdown improves by 25.3%p (CAGR 19.7%, MDD -63.2%, exposure 36%).
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 |
|---|---|---|---|---|---|---|---|
| Parabolic SAR step=0.01, maxStep=0.22 |
23.9% | -70.3% | 0.67 | 0.34 | 295.0x | 298 | 50% |
| Donchian 채널 돌파 entryN=22, exitN=53 |
21.9% | -82.6% | 0.62 | 0.27 | 194.3x | 83 | 71% |
| 볼린저 밴드 돌파 n=14, k=1.4 |
19.7% | -63.2% | 0.61 | 0.31 | 118.1x | 404 | 36% |
| Supertrend period=16, mult=1.6 |
19.3% | -72.0% | 0.59 | 0.27 | 109.3x | 476 | 49% |
| ROC 모멘텀 n=74, threshold=0.03 |
18.7% | -74.3% | 0.58 | 0.25 | 94.1x | 228 | 51% |
| Keltner 채널 돌파 emaPeriod=45, atrPeriod=11, mult=1 |
17.9% | -69.4% | 0.57 | 0.26 | 80.2x | 224 | 44% |
| EMA 크로스오버 fast=36, slow=76 |
17.3% | -72.3% | 0.56 | 0.24 | 69.6x | 61 | 54% |
| MACD fast=15, slow=26, signal=23 |
17.2% | -83.5% | 0.55 | 0.21 | 67.2x | 308 | 51% |
| SMA 크로스오버 fast=45, slow=254 |
16.0% | -73.4% | 0.55 | 0.22 | 51.4x | 27 | 58% |
| ADX / DI 방향성 period=14, threshold=12 |
15.8% | -71.6% | 0.53 | 0.22 | 49.0x | 480 | 54% |
| Buy and hold | 18.6% | -95.7% | 0.58 | 0.19 | 93.3x | 1 | 100% |
Rules of the top strategy
Trades around the Parabolic SAR dots that accelerate toward price.
- Buy — Buy when price rises above the SAR dots
- Sell — Sell when price falls below the SAR dots