Trend-Following Backtester · Guide · backtest 한국어
equity · US
Rimini Street, Inc. backtest
10 trend-following strategies were compared on the full daily history of Rimini Street, Inc.. 10 beat buy-and-hold CAGR; 볼린저 밴드 돌파 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is 볼린저 밴드 돌파 (CAGR 6.7%, MDD -18.9%).
Results by strategy
10 of 10 beat buy and hold (CAGR -6.3%, drawdown -85.9%).
Sharpe leader (same as main): 볼린저 밴드 돌파 — CAGR 6.7%, MDD -18.9%, Sharpe 0.49, 9% exposure.
Return/drawdown alternative: 볼린저 밴드 돌파 — CAGR is 13.0%p higher than buy and hold, while drawdown improves by 67.1%p (CAGR 6.7%, MDD -18.9%, exposure 9%).
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=28, k=3.5 |
6.7% | -18.9% | 0.49 | 0.36 | 2.0x | 16 | 9% |
| ADX / DI 방향성 period=27, threshold=25 |
6.1% | -37.0% | 0.38 | 0.16 | 1.9x | 26 | 12% |
| MACD fast=28, slow=85, signal=20 |
1.0% | -71.9% | 0.25 | 0.01 | 1.1x | 71 | 54% |
| Keltner 채널 돌파 emaPeriod=54, atrPeriod=26, mult=3.9 |
2.4% | -40.2% | 0.22 | 0.06 | 1.3x | 21 | 17% |
| ROC 모멘텀 n=185, threshold=0.14 |
1.4% | -53.2% | 0.20 | 0.03 | 1.2x | 37 | 19% |
| Supertrend period=8, mult=3.8 |
-1.8% | -71.7% | 0.17 | -0.02 | 0.8x | 57 | 49% |
| Donchian 채널 돌파 entryN=14, exitN=92 |
-4.2% | -81.6% | 0.17 | -0.05 | 0.6x | 29 | 80% |
| EMA 크로스오버 fast=50, slow=208 |
-0.9% | -60.8% | 0.12 | -0.01 | 0.9x | 11 | 33% |
| Parabolic SAR step=0.005, maxStep=0.14 |
-6.2% | -81.8% | 0.06 | -0.08 | 0.5x | 73 | 51% |
| SMA 크로스오버 fast=26, slow=177 |
-5.5% | -82.9% | 0.04 | -0.07 | 0.5x | 21 | 40% |
| Buy and hold | -6.3% | -85.9% | 0.18 | -0.07 | 0.5x | 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 28-day average (3.5× volatility)
- Sell — Sell when the close falls back to the 28-day middle average