Trend-Following Backtester · Guide · backtest 한국어
equity · US
Ranpak Holdings Corp backtest
10 trend-following strategies were compared on the full daily history of Ranpak Holdings Corp. 10 beat buy-and-hold CAGR; ROC 모멘텀 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is Keltner 채널 돌파 (CAGR 13.0%, MDD -41.9%).
Results by strategy
10 of 10 beat buy and hold (CAGR -7.2%, drawdown -93.6%).
Sharpe leader (same as main): ROC 모멘텀 — CAGR 27.2%, MDD -49.8%, Sharpe 0.75, 59% exposure.
Return/drawdown alternative: Keltner 채널 돌파 — CAGR is 34.4%p higher than buy and hold, while drawdown improves by 43.8%p (CAGR 13.0%, MDD -41.9%, exposure 43%).
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 |
|---|---|---|---|---|---|---|---|
| ROC 모멘텀 n=28, threshold=-0.01 |
27.2% | -49.8% | 0.75 | 0.54 | 7.5x | 114 | 59% |
| 볼린저 밴드 돌파 n=25, k=1.1 |
22.5% | -45.5% | 0.75 | 0.50 | 5.5x | 84 | 43% |
| SMA 크로스오버 fast=12, slow=46 |
23.8% | -45.4% | 0.74 | 0.53 | 6.0x | 42 | 56% |
| Supertrend period=28, mult=2.7 |
23.2% | -42.3% | 0.71 | 0.55 | 5.7x | 68 | 47% |
| EMA 크로스오버 fast=11, slow=19 |
22.1% | -46.6% | 0.70 | 0.47 | 5.3x | 74 | 55% |
| Donchian 채널 돌파 entryN=28, exitN=19 |
20.5% | -53.9% | 0.68 | 0.38 | 4.8x | 38 | 47% |
| Parabolic SAR step=0.01, maxStep=0.3 |
20.4% | -58.1% | 0.65 | 0.35 | 4.7x | 100 | 50% |
| MACD fast=16, slow=56, signal=18 |
20.3% | -80.2% | 0.64 | 0.25 | 4.7x | 74 | 50% |
| Keltner 채널 돌파 emaPeriod=36, atrPeriod=18, mult=1.4 |
13.0% | -41.9% | 0.53 | 0.31 | 2.8x | 62 | 43% |
| ADX / DI 방향성 period=14, threshold=14 |
13.6% | -61.2% | 0.52 | 0.22 | 2.9x | 132 | 51% |
| Buy and hold | -7.2% | -93.6% | 0.21 | -0.08 | 0.5x | 1 | 100% |
Rules of the top strategy
Rides the trend when recent return (momentum) over a window is above a threshold.
- Buy — Buy when the last 28-day return is greater than -1%
- Sell — Sell when the 28-day return drops to -1% or below