Trend-Following Backtester · Guide · backtest 한국어
equity · US
Robinhood Markets, Inc. backtest
10 trend-following strategies were compared on the full daily history of Robinhood Markets, Inc.. 10 beat buy-and-hold CAGR; ROC 모멘텀 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is Keltner 채널 돌파 (CAGR 33.7%, MDD -45.9%).
Results by strategy
10 of 10 beat buy and hold (CAGR 19.8%, drawdown -90.2%).
Sharpe leader (same as main): ROC 모멘텀 — CAGR 47.6%, MDD -47.7%, Sharpe 1.07, 52% exposure.
Return/drawdown alternative: Keltner 채널 돌파 — CAGR is 27.8%p higher than buy and hold, while drawdown improves by 42.6%p (CAGR 33.7%, MDD -45.9%, exposure 44%).
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 |
|---|---|---|---|---|---|---|---|
| ROC 모멘텀 n=154, threshold=0.03 |
47.6% | -47.7% | 1.07 | 1.00 | 7.0x | 22 | 52% |
| EMA 크로스오버 fast=37, slow=116 |
46.8% | -47.7% | 1.07 | 0.98 | 6.8x | 5 | 50% |
| SMA 크로스오버 fast=24, slow=138 |
45.0% | -47.7% | 1.01 | 0.94 | 6.4x | 11 | 54% |
| 볼린저 밴드 돌파 n=18, k=1.8 |
36.0% | -53.9% | 0.97 | 0.67 | 4.7x | 46 | 36% |
| Donchian 채널 돌파 entryN=51, exitN=76 |
41.8% | -49.0% | 0.92 | 0.85 | 5.8x | 7 | 70% |
| Keltner 채널 돌파 emaPeriod=59, atrPeriod=16, mult=1.1 |
33.7% | -45.9% | 0.91 | 0.73 | 4.3x | 32 | 44% |
| Supertrend period=11, mult=3.2 |
23.5% | -61.5% | 0.69 | 0.38 | 2.9x | 30 | 56% |
| ADX / DI 방향성 period=37, threshold=13 |
21.6% | -57.9% | 0.67 | 0.37 | 2.7x | 36 | 42% |
| MACD fast=12, slow=55, signal=16 |
19.9% | -74.6% | 0.62 | 0.27 | 2.5x | 48 | 50% |
| Parabolic SAR step=0.03, maxStep=0.14 |
20.2% | -64.1% | 0.60 | 0.32 | 2.5x | 118 | 51% |
| Buy and hold | 19.8% | -90.2% | 0.61 | 0.22 | 2.5x | 1 | 100% |
Rules of the top strategy
Rides the trend when recent return (momentum) over a window is above a threshold.
- Buy — Buy when the last 154-day return is greater than 3%
- Sell — Sell when the 154-day return drops to 3% or below