Trend-Following Backtester · Guide · backtest 한국어
equity · US
RCM Technologies, Inc. backtest
10 trend-following strategies were compared on the full daily history of RCM Technologies, Inc.. 7 beat buy-and-hold CAGR; SMA 크로스오버 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is Donchian 채널 돌파 (CAGR 5.2%, MDD -62.4%).
Results by strategy
7 of 10 beat buy and hold (CAGR 3.5%, drawdown -97.5%).
Sharpe leader (same as main): SMA 크로스오버 — CAGR 4.6%, MDD -95.0%, Sharpe 0.37, 50% exposure.
CAGR reference leader: Keltner 채널 돌파 — CAGR 6.8%, MDD -78.5%, exposure 22%.
Return/drawdown alternative: Donchian 채널 돌파 — CAGR is 1.1%p higher than buy and hold, while drawdown improves by 2.6%p (CAGR 5.2%, MDD -62.4%, exposure 19%).
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=39, slow=72 |
4.6% | -95.0% | 0.37 | 0.05 | 6.8x | 158 | 50% |
| EMA 크로스오버 fast=45, slow=127 |
5.0% | -95.5% | 0.37 | 0.05 | 8.0x | 71 | 51% |
| Keltner 채널 돌파 emaPeriod=46, atrPeriod=8, mult=2.8 |
6.8% | -78.5% | 0.36 | 0.09 | 16.9x | 118 | 22% |
| Supertrend period=21, mult=4.7 |
4.4% | -95.9% | 0.32 | 0.05 | 6.4x | 133 | 46% |
| ADX / DI 방향성 period=37, threshold=12 |
4.1% | -79.9% | 0.32 | 0.05 | 5.6x | 311 | 38% |
| Donchian 채널 돌파 entryN=155, exitN=19 |
5.2% | -62.4% | 0.31 | 0.08 | 8.9x | 78 | 19% |
| 볼린저 밴드 돌파 n=36, k=3.5 |
5.1% | -69.4% | 0.31 | 0.07 | 8.3x | 70 | 12% |
| Parabolic SAR step=0.005, maxStep=0.36 |
2.3% | -84.5% | 0.29 | 0.03 | 2.7x | 263 | 48% |
| ROC 모멘텀 n=129, threshold=-0.04 |
-2.3% | -99.4% | 0.24 | -0.02 | 0.4x | 383 | 57% |
| MACD fast=18, slow=55, signal=17 |
-4.2% | -99.6% | 0.18 | -0.04 | 0.2x | 479 | 52% |
| Buy and hold | 3.5% | -97.5% | 0.43 | 0.04 | 4.3x | 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 39-day average price crosses above the 72-day average
- Sell — Sell (to cash) when the 39-day average falls below the 72-day average