Trend-Following Backtester · Guide · backtest 한국어
equity · US
Radiant Logistics, Inc. backtest
10 trend-following strategies were compared on the full daily history of Radiant Logistics, Inc.. 4 beat buy-and-hold CAGR; SMA 크로스오버 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is 볼린저 밴드 돌파 (CAGR 15.0%, MDD -50.2%).
Results by strategy
4 of 10 beat buy and hold (CAGR 13.3%, drawdown -92.7%).
Sharpe leader (same as main): SMA 크로스오버 — CAGR 18.7%, MDD -67.0%, Sharpe 0.60, 55% exposure.
Return/drawdown alternative: 볼린저 밴드 돌파 — CAGR is 5.4%p higher than buy and hold, while drawdown improves by 25.7%p (CAGR 15.0%, MDD -50.2%, exposure 34%).
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=24, slow=75 |
18.7% | -67.0% | 0.60 | 0.28 | 29.3x | 59 | 55% |
| 볼린저 밴드 돌파 n=103, k=2.4 |
15.0% | -50.2% | 0.59 | 0.30 | 15.9x | 32 | 34% |
| EMA 크로스오버 fast=38, slow=116 |
15.8% | -62.0% | 0.55 | 0.25 | 18.1x | 35 | 52% |
| Keltner 채널 돌파 emaPeriod=112, atrPeriod=27, mult=3.3 |
14.3% | -64.1% | 0.54 | 0.22 | 14.0x | 40 | 41% |
| ADX / DI 방향성 period=38, threshold=19 |
12.4% | -51.4% | 0.54 | 0.24 | 10.0x | 46 | 18% |
| Donchian 채널 돌파 entryN=68, exitN=27 |
10.0% | -74.9% | 0.44 | 0.13 | 6.6x | 50 | 43% |
| Supertrend period=9, mult=4.5 |
4.8% | -95.5% | 0.34 | 0.05 | 2.5x | 76 | 56% |
| ROC 모멘텀 n=130, threshold=0.02 |
4.5% | -76.9% | 0.31 | 0.06 | 2.4x | 185 | 51% |
| MACD fast=17, slow=71, signal=24 |
-5.2% | -94.9% | 0.14 | -0.06 | 0.3x | 190 | 51% |
| Parabolic SAR step=0.005, maxStep=0.38 |
-6.4% | -95.9% | 0.09 | -0.07 | 0.3x | 138 | 51% |
| Buy and hold | 13.3% | -92.7% | 0.52 | 0.14 | 11.7x | 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 24-day average price crosses above the 75-day average
- Sell — Sell (to cash) when the 24-day average falls below the 75-day average