Trend-Following Backtester · Guide · backtest 한국어
equity · US
RxSight, Inc. backtest
10 trend-following strategies were compared on the full daily history of RxSight, Inc.. 9 beat buy-and-hold CAGR; ADX / DI 방향성 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is ADX / DI 방향성 (CAGR 24.1%, MDD -13.6%).
Results by strategy
9 of 10 beat buy and hold (CAGR -17.9%, drawdown -92.9%).
Sharpe leader (same as main): ADX / DI 방향성 — CAGR 24.1%, MDD -13.6%, Sharpe 1.18, 12% exposure.
CAGR reference leader: SMA 크로스오버 — CAGR 26.5%, MDD -44.2%, exposure 39%.
Return/drawdown alternative: ADX / DI 방향성 — CAGR is 41.9%p higher than buy and hold, while drawdown improves by 79.2%p (CAGR 24.1%, MDD -13.6%, exposure 12%).
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=12, threshold=37 |
24.1% | -13.6% | 1.18 | 1.77 | 2.9x | 12 | 12% |
| 볼린저 밴드 돌파 n=43, k=3.5 |
12.7% | -14.0% | 0.94 | 0.91 | 1.8x | 2 | 8% |
| SMA 크로스오버 fast=44, slow=305 |
26.5% | -44.2% | 0.89 | 0.60 | 3.2x | 2 | 39% |
| Keltner 채널 돌파 emaPeriod=39, atrPeriod=24, mult=4 |
15.3% | -14.0% | 0.88 | 1.09 | 2.0x | 4 | 10% |
| EMA 크로스오버 fast=28, slow=274 |
25.6% | -37.3% | 0.87 | 0.69 | 3.1x | 4 | 38% |
| Donchian 채널 돌파 entryN=70, exitN=14 |
15.6% | -34.2% | 0.74 | 0.45 | 2.1x | 10 | 18% |
| Supertrend period=13, mult=2.4 |
15.9% | -49.4% | 0.56 | 0.32 | 2.1x | 31 | 45% |
| ROC 모멘텀 n=66, threshold=0.02 |
8.7% | -51.0% | 0.41 | 0.17 | 1.5x | 50 | 44% |
| Parabolic SAR step=0.005, maxStep=0.24 |
-9.3% | -69.3% | 0.02 | -0.13 | 0.6x | 37 | 44% |
| MACD fast=7, slow=36, signal=17 |
-18.2% | -75.8% | -0.18 | -0.24 | 0.4x | 87 | 49% |
| Buy and hold | -17.9% | -92.9% | 0.07 | -0.19 | 0.4x | 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, 12-day) is ≥ 37
- Sell — Sell when direction flips or the trend weakens (ADX < 37)