Trend-Following Backtester · Guide · backtest 한국어
equity · US
Red Cat Holdings, Inc. backtest
10 trend-following strategies were compared on the full daily history of Red Cat Holdings, Inc.. 2 beat buy-and-hold CAGR; Donchian 채널 돌파 ranks first by Sharpe, matching the main backtester.
Results by strategy
2 of 10 beat buy and hold (CAGR -35.6%, drawdown -100.0%).
Sharpe leader (same as main): Donchian 채널 돌파 — CAGR -31.0%, MDD -100.0%, Sharpe 0.69, 56% exposure.
CAGR reference leader: SMA 크로스오버 — CAGR -25.7%, MDD -100.0%, exposure 37%.
No strategy retained at least 75% of buy-and-hold CAGR while reducing drawdown by both 20% relatively and 5 percentage points absolutely.
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 |
|---|---|---|---|---|---|---|---|
| Donchian 채널 돌파 entryN=104, exitN=226 |
-31.0% | -100.0% | 0.69 | -0.31 | 0.0x | 23 | 56% |
| SMA 크로스오버 fast=56, slow=188 |
-25.7% | -100.0% | 0.57 | -0.26 | 0.0x | 40 | 37% |
| MACD fast=16, slow=48, signal=19 |
-68.3% | -100.0% | 0.42 | -0.68 | 0.0x | 272 | 55% |
| EMA 크로스오버 fast=55, slow=205 |
-37.1% | -100.0% | 0.40 | -0.37 | 0.0x | 36 | 30% |
| ROC 모멘텀 n=109, threshold=-0.05 |
-60.8% | -100.0% | 0.36 | -0.61 | 0.0x | 336 | 47% |
| ADX / DI 방향성 period=31, threshold=11 |
-59.0% | -100.0% | 0.32 | -0.59 | 0.0x | 190 | 46% |
| Parabolic SAR step=0.005, maxStep=0.38 |
-46.8% | -100.0% | 0.31 | -0.47 | 0.0x | 124 | 31% |
| Supertrend period=14, mult=5 |
-70.7% | -100.0% | 0.28 | -0.71 | 0.0x | 152 | 48% |
| 볼린저 밴드 돌파 n=54, k=1.7 |
-50.9% | -100.0% | 0.12 | -0.51 | 0.0x | 116 | 21% |
| Keltner 채널 돌파 emaPeriod=53, atrPeriod=25, mult=4 |
-56.2% | -100.0% | -0.02 | -0.56 | 0.0x | 92 | 14% |
| Buy and hold | -35.6% | -100.0% | 1.05 | -0.36 | 0.0x | 1 | 100% |
Rules of the top strategy
A new high means a trend starting; a new low means it’s over (turtle-trading style).
- Buy — Buy on a breakout above the highest high of the last 104 days
- Sell — Sell when price breaks below the lowest low of the last 226 days