Trend-Following Backtester · Guide · backtest 한국어
equity · US
Reynolds Consumer Products Inc. backtest
10 trend-following strategies were compared on the full daily history of Reynolds Consumer Products Inc.. 7 beat buy-and-hold CAGR; ROC 모멘텀 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is ROC 모멘텀 (CAGR 0.3%, MDD -0.5%).
Results by strategy
7 of 10 beat buy and hold (CAGR -2.1%, drawdown -41.7%).
Sharpe leader (same as main): ROC 모멘텀 — CAGR 0.3%, MDD -0.5%, Sharpe 0.30, 0% exposure.
CAGR reference leader: 볼린저 밴드 돌파 — CAGR 1.0%, MDD -9.8%, exposure 11%.
Return/drawdown alternative: ROC 모멘텀 — CAGR is 2.4%p higher than buy and hold, while drawdown improves by 41.2%p (CAGR 0.3%, MDD -0.5%, exposure 0%).
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 |
|---|---|---|---|---|---|---|---|
| ROC 모멘텀 n=144, threshold=0.26 |
0.3% | -0.5% | 0.30 | 0.56 | 1.0x | 2 | 0% |
| 볼린저 밴드 돌파 n=43, k=3.2 |
1.0% | -9.8% | 0.21 | 0.10 | 1.1x | 6 | 11% |
| Keltner 채널 돌파 emaPeriod=8, atrPeriod=27, mult=3.5 |
0.4% | -3.2% | 0.20 | 0.12 | 1.0x | 2 | 1% |
| SMA 크로스오버 fast=24, slow=55 |
-0.3% | -25.5% | 0.05 | -0.01 | 1.0x | 27 | 43% |
| ADX / DI 방향성 period=7, threshold=44 |
-0.1% | -10.7% | 0.01 | -0.01 | 1.0x | 30 | 8% |
| Supertrend period=31, mult=4.2 |
-2.0% | -43.5% | -0.05 | -0.05 | 0.9x | 21 | 44% |
| Donchian 채널 돌파 entryN=105, exitN=13 |
-0.7% | -13.1% | -0.05 | -0.05 | 1.0x | 12 | 12% |
| Parabolic SAR step=0.005, maxStep=0.32 |
-5.4% | -50.7% | -0.25 | -0.11 | 0.7x | 56 | 48% |
| EMA 크로스오버 fast=28, slow=47 |
-6.4% | -48.8% | -0.39 | -0.13 | 0.6x | 33 | 43% |
| MACD fast=15, slow=51, signal=19 |
-7.7% | -53.3% | -0.44 | -0.14 | 0.6x | 72 | 48% |
| Buy and hold | -2.1% | -41.7% | 0.03 | -0.05 | 0.9x | 1 | 100% |
Rules of the top strategy
Rides the trend when recent return (momentum) over a window is above a threshold.
- Buy — Buy when the last 144-day return is greater than 26%
- Sell — Sell when the 144-day return drops to 26% or below