Trend-Following Backtester · Guide · backtest 한국어
equity · JP
Relo Group, Inc. backtest
10 trend-following strategies were compared on the full daily history of Relo Group, 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 17.4%, drawdown -65.6%).
Sharpe leader (same as main): SMA 크로스오버 — CAGR 16.9%, MDD -54.6%, Sharpe 0.75, 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=50, slow=283 |
16.9% | -54.6% | 0.75 | 0.31 | 13.0x | 15 | 65% |
| EMA 크로스오버 fast=71, slow=258 |
16.8% | -61.1% | 0.74 | 0.27 | 12.8x | 11 | 66% |
| Donchian 채널 돌파 entryN=87, exitN=86 |
12.5% | -59.5% | 0.62 | 0.21 | 6.9x | 17 | 59% |
| Keltner 채널 돌파 emaPeriod=37, atrPeriod=18, mult=3.6 |
6.1% | -24.9% | 0.50 | 0.24 | 2.6x | 37 | 23% |
| ROC 모멘텀 n=143, threshold=0.03 |
8.5% | -77.1% | 0.47 | 0.11 | 3.8x | 133 | 59% |
| Supertrend period=10, mult=4 |
7.9% | -59.4% | 0.44 | 0.13 | 3.5x | 71 | 61% |
| 볼린저 밴드 돌파 n=48, k=2.9 |
4.2% | -26.8% | 0.38 | 0.16 | 2.0x | 28 | 20% |
| ADX / DI 방향성 period=22, threshold=14 |
3.7% | -55.5% | 0.29 | 0.07 | 1.8x | 161 | 41% |
| Parabolic SAR step=0.01, maxStep=0.18 |
3.8% | -72.8% | 0.28 | 0.05 | 1.8x | 214 | 57% |
| MACD fast=16, slow=61, signal=14 |
-0.9% | -79.8% | 0.07 | -0.01 | 0.9x | 221 | 53% |
| Buy and hold | 17.4% | -65.6% | 0.66 | 0.26 | 13.9x | 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 50-day average price crosses above the 283-day average
- Sell — Sell (to cash) when the 50-day average falls below the 283-day average