Trend-Following Backtester · Guide · backtest 한국어
equity · US
The RealReal, Inc. backtest
10 trend-following strategies were compared on the full daily history of The RealReal, Inc.. 10 beat buy-and-hold CAGR; 볼린저 밴드 돌파 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is Donchian 채널 돌파 (CAGR 20.8%, MDD -31.4%).
Results by strategy
10 of 10 beat buy and hold (CAGR -13.5%, drawdown -96.5%).
Sharpe leader (same as main): 볼린저 밴드 돌파 — CAGR 31.0%, MDD -54.8%, Sharpe 0.83, 24% exposure.
Return/drawdown alternative: Donchian 채널 돌파 — CAGR is 44.5%p higher than buy and hold, while drawdown improves by 41.6%p (CAGR 20.8%, MDD -31.4%, exposure 20%).
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 |
|---|---|---|---|---|---|---|---|
| 볼린저 밴드 돌파 n=60, k=2 |
31.0% | -54.8% | 0.83 | 0.57 | 6.9x | 16 | 24% |
| ADX / DI 방향성 period=21, threshold=26 |
25.6% | -34.8% | 0.76 | 0.74 | 5.1x | 18 | 20% |
| Keltner 채널 돌파 emaPeriod=45, atrPeriod=25, mult=3.8 |
22.4% | -46.5% | 0.71 | 0.48 | 4.3x | 12 | 18% |
| Donchian 채널 돌파 entryN=99, exitN=19 |
20.8% | -31.4% | 0.67 | 0.66 | 3.9x | 14 | 20% |
| Parabolic SAR step=0.055, maxStep=0.08 |
15.6% | -86.6% | 0.53 | 0.18 | 2.8x | 152 | 45% |
| Supertrend period=37, mult=3.5 |
15.5% | -72.4% | 0.53 | 0.21 | 2.8x | 31 | 43% |
| MACD fast=17, slow=28, signal=18 |
13.0% | -88.1% | 0.51 | 0.15 | 2.4x | 84 | 49% |
| SMA 크로스오버 fast=42, slow=59 |
14.1% | -61.2% | 0.51 | 0.23 | 2.6x | 31 | 43% |
| ROC 모멘텀 n=102, threshold=0 |
8.0% | -74.5% | 0.40 | 0.11 | 1.7x | 49 | 41% |
| EMA 크로스오버 fast=53, slow=81 |
-5.4% | -76.2% | 0.13 | -0.07 | 0.7x | 15 | 39% |
| Buy and hold | -13.5% | -96.5% | 0.30 | -0.14 | 0.4x | 1 | 100% |
Rules of the top strategy
Breaking above the upper band (average plus a multiple of volatility) signals a strong move up.
- Buy — Buy when the close breaks above the upper band of the 60-day average (2× volatility)
- Sell — Sell when the close falls back to the 60-day middle average