Trend-Following Backtester · Guide · backtest 한국어
equity · US
Red Violet, Inc. backtest
10 trend-following strategies were compared on the full daily history of Red Violet, Inc.. 0 beat buy-and-hold CAGR; Donchian 채널 돌파 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is EMA 크로스오버 (CAGR 27.1%, MDD -45.2%).
Results by strategy
0 of 10 beat buy and hold (CAGR 33.9%, drawdown -63.7%).
Sharpe leader (same as main): Donchian 채널 돌파 — CAGR 28.8%, MDD -57.8%, Sharpe 0.81, 65% exposure.
Return/drawdown alternative: EMA 크로스오버 — CAGR is 5.1%p lower than buy and hold, while drawdown improves by 5.9%p (CAGR 27.1%, MDD -45.2%, exposure 60%).
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=42, exitN=58 |
28.8% | -57.8% | 0.81 | 0.50 | 8.5x | 13 | 65% |
| EMA 크로스오버 fast=58, slow=269 |
27.1% | -45.2% | 0.78 | 0.60 | 7.5x | 7 | 60% |
| SMA 크로스오버 fast=40, slow=122 |
22.5% | -58.9% | 0.71 | 0.38 | 5.5x | 13 | 59% |
| Supertrend period=31, mult=4.3 |
21.6% | -47.1% | 0.64 | 0.46 | 5.2x | 27 | 52% |
| Parabolic SAR step=0.03, maxStep=0.22 |
20.7% | -70.5% | 0.61 | 0.29 | 4.9x | 225 | 53% |
| ROC 모멘텀 n=134, threshold=0.11 |
16.2% | -64.9% | 0.59 | 0.25 | 3.6x | 65 | 48% |
| Keltner 채널 돌파 emaPeriod=50, atrPeriod=24, mult=1.9 |
14.2% | -31.8% | 0.58 | 0.45 | 3.1x | 37 | 39% |
| 볼린저 밴드 돌파 n=43, k=1.4 |
10.7% | -55.8% | 0.47 | 0.19 | 2.4x | 53 | 45% |
| ADX / DI 방향성 period=28, threshold=12 |
8.5% | -54.4% | 0.40 | 0.16 | 2.0x | 89 | 48% |
| MACD fast=7, slow=52, signal=16 |
4.4% | -57.2% | 0.30 | 0.08 | 1.4x | 144 | 47% |
| Buy and hold | 33.9% | -63.7% | 0.77 | 0.53 | 11.7x | 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 42 days
- Sell — Sell when price breaks below the lowest low of the last 58 days