Trend-Following Backtester · Guide · backtest 한국어
equity · PL
Rainbow Tours S.A. backtest
10 trend-following strategies were compared on the full daily history of Rainbow Tours S.A.. 10 beat buy-and-hold CAGR; ADX / DI 방향성 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is 볼린저 밴드 돌파 (CAGR 29.7%, MDD -32.7%).
Results by strategy
10 of 10 beat buy and hold (CAGR 17.5%, drawdown -89.1%).
Sharpe leader (same as main): ADX / DI 방향성 — CAGR 32.8%, MDD -44.9%, Sharpe 1.04, 47% exposure.
Return/drawdown alternative: 볼린저 밴드 돌파 — CAGR is 15.4%p higher than buy and hold, while drawdown improves by 44.1%p (CAGR 29.7%, MDD -32.7%, exposure 47%).
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 |
|---|---|---|---|---|---|---|---|
| ADX / DI 방향성 period=21, threshold=6 |
32.8% | -44.9% | 1.04 | 0.73 | 206.5x | 261 | 47% |
| Donchian 채널 돌파 entryN=31, exitN=24 |
32.1% | -35.7% | 1.03 | 0.90 | 187.3x | 57 | 56% |
| 볼린저 밴드 돌파 n=47, k=1.1 |
29.7% | -32.7% | 1.03 | 0.91 | 132.5x | 99 | 47% |
| Supertrend period=27, mult=3.5 |
30.1% | -41.7% | 0.97 | 0.72 | 140.2x | 87 | 54% |
| ROC 모멘텀 n=45, threshold=0 |
29.1% | -52.5% | 0.95 | 0.56 | 121.8x | 207 | 55% |
| EMA 크로스오버 fast=18, slow=27 |
29.5% | -58.4% | 0.95 | 0.50 | 127.5x | 101 | 57% |
| MACD fast=34, slow=141, signal=19 |
29.6% | -58.5% | 0.93 | 0.51 | 129.4x | 103 | 50% |
| SMA 크로스오버 fast=7, slow=71 |
25.9% | -52.2% | 0.87 | 0.50 | 75.0x | 79 | 57% |
| Keltner 채널 돌파 emaPeriod=51, atrPeriod=29, mult=1.1 |
24.0% | -41.2% | 0.86 | 0.58 | 56.6x | 131 | 50% |
| Parabolic SAR step=0.015, maxStep=0.32 |
23.4% | -49.1% | 0.77 | 0.48 | 51.5x | 281 | 50% |
| Buy and hold | 17.5% | -89.1% | 0.56 | 0.20 | 20.5x | 1 | 100% |
Rules of the top strategy
Looks at both the direction and the strength of the trend; holds only in a strong uptrend.
- Buy — Buy when up-direction (+DI) beats down-direction (−DI) and trend strength (ADX, 21-day) is ≥ 6
- Sell — Sell when direction flips or the trend weakens (ADX < 6)