Trend-Following Backtester · Guide · backtest 한국어
equity · US
Rigetti Computing, Inc. backtest
10 trend-following strategies were compared on the full daily history of Rigetti Computing, Inc.. 10 beat buy-and-hold CAGR; Supertrend ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is ADX / DI 방향성 (CAGR 54.1%, MDD -54.1%).
Results by strategy
10 of 10 beat buy and hold (CAGR 8.0%, drawdown -96.9%).
Sharpe leader (same as main): Supertrend — CAGR 94.8%, MDD -72.3%, Sharpe 1.15, 37% exposure.
Return/drawdown alternative: ADX / DI 방향성 — CAGR is 86.8%p higher than buy and hold, while drawdown improves by 24.6%p (CAGR 54.1%, MDD -54.1%, exposure 18%).
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 |
|---|---|---|---|---|---|---|---|
| Supertrend period=12, mult=2.8 |
94.8% | -72.3% | 1.15 | 1.31 | 33.6x | 32 | 37% |
| ROC 모멘텀 n=53, threshold=-0.03 |
90.8% | -69.7% | 1.11 | 1.30 | 30.2x | 36 | 45% |
| Keltner 채널 돌파 emaPeriod=31, atrPeriod=13, mult=1.5 |
77.5% | -58.3% | 1.07 | 1.33 | 20.6x | 32 | 24% |
| 볼린저 밴드 돌파 n=57, k=1.1 |
80.2% | -69.7% | 1.06 | 1.15 | 22.3x | 26 | 34% |
| EMA 크로스오버 fast=14, slow=42 |
80.4% | -69.7% | 1.06 | 1.15 | 22.4x | 20 | 37% |
| Donchian 채널 돌파 entryN=18, exitN=41 |
64.6% | -81.1% | 0.97 | 0.80 | 13.9x | 20 | 50% |
| MACD fast=17, slow=44, signal=24 |
62.2% | -89.0% | 0.96 | 0.70 | 12.8x | 38 | 54% |
| Parabolic SAR step=0.005, maxStep=0.34 |
58.7% | -77.6% | 0.94 | 0.76 | 11.4x | 44 | 37% |
| ADX / DI 방향성 period=12, threshold=37 |
54.1% | -54.1% | 0.92 | 1.00 | 9.8x | 22 | 18% |
| SMA 크로스오버 fast=16, slow=178 |
49.7% | -78.1% | 0.87 | 0.64 | 8.4x | 8 | 35% |
| Buy and hold | 8.0% | -96.9% | 0.67 | 0.08 | 1.5x | 1 | 100% |
Rules of the top strategy
Trades the direction of a volatility-based trend line that trails below/above price.
- Buy — Buy when price moves above the trend line (flips up) — 12-day volatility, 2.8× band
- Sell — Sell when price drops below the trend line (flips down)