Trend-Following Backtester · Guide · backtest 한국어
equity · US
Rapid7, Inc. backtest
10 trend-following strategies were compared on the full daily history of Rapid7, Inc.. 10 beat buy-and-hold CAGR; SMA 크로스오버 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is EMA 크로스오버 (CAGR 13.4%, MDD -48.5%).
Results by strategy
10 of 10 beat buy and hold (CAGR -8.4%, drawdown -96.4%).
Sharpe leader (same as main): SMA 크로스오버 — CAGR 20.9%, MDD -52.0%, Sharpe 0.74, 54% exposure.
Return/drawdown alternative: EMA 크로스오버 — CAGR is 29.3%p higher than buy and hold, while drawdown improves by 44.4%p (CAGR 13.4%, MDD -48.5%, exposure 50%).
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 |
|---|---|---|---|---|---|---|---|
| SMA 크로스오버 fast=28, slow=64 |
20.9% | -52.0% | 0.74 | 0.40 | 8.1x | 37 | 54% |
| EMA 크로스오버 fast=25, slow=30 |
13.4% | -48.5% | 0.56 | 0.28 | 4.0x | 45 | 50% |
| ROC 모멘텀 n=53, threshold=0 |
13.6% | -53.6% | 0.56 | 0.25 | 4.1x | 133 | 52% |
| Donchian 채널 돌파 entryN=42, exitN=33 |
13.3% | -53.6% | 0.56 | 0.25 | 4.0x | 27 | 50% |
| Supertrend period=26, mult=2.9 |
10.9% | -67.9% | 0.48 | 0.16 | 3.1x | 64 | 52% |
| 볼린저 밴드 돌파 n=64, k=0.8 |
10.0% | -56.7% | 0.47 | 0.18 | 2.9x | 57 | 43% |
| Keltner 채널 돌파 emaPeriod=57, atrPeriod=11, mult=1.3 |
7.5% | -57.7% | 0.40 | 0.13 | 2.2x | 61 | 41% |
| ADX / DI 방향성 period=28, threshold=12 |
1.9% | -60.3% | 0.20 | 0.03 | 1.2x | 105 | 36% |
| Parabolic SAR step=0.03, maxStep=0.38 |
-2.2% | -71.3% | 0.11 | -0.03 | 0.8x | 306 | 49% |
| MACD fast=19, slow=45, signal=19 |
-2.8% | -86.4% | 0.10 | -0.03 | 0.7x | 110 | 53% |
| Buy and hold | -8.4% | -96.4% | 0.09 | -0.09 | 0.4x | 1 | 100% |
Rules of the top strategy
When the short average rises above the long average, it reads that as an uptrend starting.
- Buy — Buy when the 28-day average price crosses above the 64-day average
- Sell — Sell (to cash) when the 28-day average falls below the 64-day average