Trend-Following Backtester · Guide · backtest 한국어
equity · US
Ramaco Resources, Inc. backtest
10 trend-following strategies were compared on the full daily history of Ramaco Resources, Inc.. 8 beat buy-and-hold CAGR; Keltner 채널 돌파 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is Keltner 채널 돌파 (CAGR 20.0%, MDD -38.5%).
Results by strategy
8 of 10 beat buy and hold (CAGR -3.8%, drawdown -85.6%).
Sharpe leader (same as main): Keltner 채널 돌파 — CAGR 20.0%, MDD -38.5%, Sharpe 0.69, 13% exposure.
CAGR reference leader: Donchian 채널 돌파 — CAGR 21.4%, MDD -60.0%, exposure 38%.
Return/drawdown alternative: Keltner 채널 돌파 — CAGR is 23.8%p higher than buy and hold, while drawdown improves by 47.1%p (CAGR 20.0%, MDD -38.5%, exposure 13%).
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 |
|---|---|---|---|---|---|---|---|
| Keltner 채널 돌파 emaPeriod=43, atrPeriod=15, mult=4 |
20.0% | -38.5% | 0.69 | 0.52 | 5.6x | 10 | 13% |
| 볼린저 밴드 돌파 n=58, k=3.3 |
19.4% | -48.5% | 0.68 | 0.40 | 5.4x | 8 | 14% |
| ADX / DI 방향성 period=33, threshold=19 |
21.0% | -55.6% | 0.67 | 0.38 | 6.1x | 14 | 20% |
| Donchian 채널 돌파 entryN=123, exitN=57 |
21.4% | -60.0% | 0.63 | 0.36 | 6.3x | 8 | 38% |
| ROC 모멘텀 n=133, threshold=0.12 |
21.0% | -74.4% | 0.63 | 0.28 | 6.1x | 62 | 35% |
| SMA 크로스오버 fast=7, slow=143 |
20.6% | -68.4% | 0.61 | 0.30 | 5.9x | 36 | 40% |
| EMA 크로스오버 fast=44, slow=88 |
17.1% | -72.7% | 0.56 | 0.24 | 4.5x | 12 | 39% |
| Supertrend period=8, mult=4.5 |
3.5% | -84.2% | 0.35 | 0.04 | 1.4x | 32 | 57% |
| MACD fast=16, slow=44, signal=19 |
-3.9% | -88.8% | 0.21 | -0.04 | 0.7x | 108 | 52% |
| Parabolic SAR step=0.045, maxStep=0.3 |
-7.5% | -84.0% | 0.11 | -0.09 | 0.5x | 332 | 47% |
| Buy and hold | -3.8% | -85.6% | 0.32 | -0.04 | 0.7x | 1 | 100% |
Rules of the top strategy
Breaking above the channel top (average plus a multiple of volatility) signals an upside breakout.
- Buy — Buy when the close breaks above the 43-day average + 4× volatility (Keltner top)
- Sell — Sell when the close falls back to the 43-day average