Trend-Following Backtester · Guide · backtest 한국어
equity · US
The RMR Group Inc. backtest
10 trend-following strategies were compared on the full daily history of The RMR Group Inc.. 4 beat buy-and-hold CAGR; ADX / DI 방향성 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is ROC 모멘텀 (CAGR 7.7%, MDD -23.7%).
Results by strategy
4 of 10 beat buy and hold (CAGR 4.5%, drawdown -85.7%).
Sharpe leader (same as main): ADX / DI 방향성 — CAGR 3.8%, MDD -10.6%, Sharpe 0.64, 5% exposure.
CAGR reference leader: Supertrend — CAGR 12.8%, MDD -42.0%, exposure 48%.
Return/drawdown alternative: ROC 모멘텀 — CAGR is 0.6%p lower than buy and hold, while drawdown improves by 75.1%p (CAGR 7.7%, MDD -23.7%, exposure 23%).
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 |
|---|---|---|---|---|---|---|---|
| ADX / DI 방향성 period=38, threshold=36 |
3.8% | -10.6% | 0.64 | 0.36 | 1.5x | 2 | 5% |
| Supertrend period=9, mult=4.3 |
12.8% | -42.0% | 0.62 | 0.31 | 3.6x | 31 | 48% |
| ROC 모멘텀 n=134, threshold=0.23 |
7.7% | -23.7% | 0.59 | 0.33 | 2.2x | 46 | 23% |
| EMA 크로스오버 fast=56, slow=97 |
6.1% | -59.5% | 0.40 | 0.10 | 1.9x | 13 | 43% |
| Keltner 채널 돌파 emaPeriod=62, atrPeriod=18, mult=2.2 |
5.4% | -48.9% | 0.39 | 0.11 | 1.7x | 32 | 31% |
| Donchian 채널 돌파 entryN=78, exitN=39 |
3.8% | -56.2% | 0.30 | 0.07 | 1.5x | 19 | 36% |
| SMA 크로스오버 fast=15, slow=207 |
3.5% | -52.9% | 0.27 | 0.07 | 1.4x | 15 | 39% |
| 볼린저 밴드 돌파 n=43, k=3.2 |
0.8% | -32.3% | 0.13 | 0.02 | 1.1x | 14 | 10% |
| Parabolic SAR step=0.01, maxStep=0.1 |
-0.4% | -78.9% | 0.12 | -0.01 | 1.0x | 142 | 53% |
| MACD fast=14, slow=59, signal=17 |
-4.5% | -70.8% | -0.08 | -0.06 | 0.6x | 120 | 47% |
| Buy and hold | 4.5% | -85.7% | 0.30 | 0.05 | 1.6x | 1 | 100% |
Rules of the top strategy
Looks at both the direction and the strength of the trend; holds only in a strong uptrend.
- Buy — Buy when up-direction (+DI) beats down-direction (−DI) and trend strength (ADX, 38-day) is ≥ 36
- Sell — Sell when direction flips or the trend weakens (ADX < 36)