Trend-Following Backtester · Guide · backtest 한국어
equity · US
REalloys Inc. backtest
10 trend-following strategies were compared on the full daily history of REalloys 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 -2.7%, MDD -73.7%).
Results by strategy
4 of 10 beat buy and hold (CAGR -10.2%, drawdown -98.1%).
Sharpe leader (same as main): SMA 크로스오버 — CAGR -0.3%, MDD -87.4%, Sharpe 0.40, 42% exposure.
Return/drawdown alternative: 볼린저 밴드 돌파 — CAGR is 9.9%p higher than buy and hold, while drawdown improves by 10.7%p (CAGR -2.7%, MDD -73.7%, exposure 23%).
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=47, slow=210 |
-0.3% | -87.4% | 0.40 | -0.00 | 1.0x | 17 | 42% |
| EMA 크로스오버 fast=53, slow=221 |
-2.6% | -88.0% | 0.31 | -0.03 | 0.8x | 9 | 27% |
| ADX / DI 방향성 period=25, threshold=12 |
-11.1% | -84.0% | 0.25 | -0.13 | 0.3x | 68 | 41% |
| Donchian 채널 돌파 entryN=11, exitN=82 |
-31.2% | -99.6% | 0.25 | -0.31 | 0.0x | 35 | 86% |
| 볼린저 밴드 돌파 n=11, k=2.8 |
-2.7% | -73.7% | 0.21 | -0.04 | 0.8x | 34 | 23% |
| Parabolic SAR step=0.02, maxStep=0.28 |
-14.7% | -97.6% | 0.21 | -0.15 | 0.2x | 122 | 43% |
| Supertrend period=9, mult=4.2 |
-27.5% | -98.9% | 0.16 | -0.28 | 0.0x | 53 | 52% |
| Keltner 채널 돌파 emaPeriod=9, atrPeriod=8, mult=2.5 |
-8.5% | -83.5% | 0.08 | -0.10 | 0.4x | 26 | 25% |
| MACD fast=19, slow=35, signal=17 |
-26.8% | -99.3% | 0.07 | -0.27 | 0.0x | 103 | 55% |
| ROC 모멘텀 n=40, threshold=-0.04 |
-40.0% | -99.8% | -0.09 | -0.40 | 0.0x | 154 | 62% |
| Buy and hold | -10.2% | -98.1% | 0.53 | -0.10 | 0.3x | 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 47-day average price crosses above the 210-day average
- Sell — Sell (to cash) when the 47-day average falls below the 210-day average