Trend-Following Backtester · Guide · backtest 한국어
equity · US
RBC Bearings Incorporated backtest
10 trend-following strategies were compared on the full daily history of RBC Bearings Incorporated. 0 beat buy-and-hold CAGR; Donchian 채널 돌파 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is Donchian 채널 돌파 (CAGR 14.9%, MDD -49.9%).
Results by strategy
0 of 10 beat buy and hold (CAGR 18.6%, drawdown -71.8%).
Sharpe leader (same as main): Donchian 채널 돌파 — CAGR 14.9%, MDD -49.9%, Sharpe 0.60, 92% exposure.
Return/drawdown alternative: Donchian 채널 돌파 — CAGR is 3.7%p lower than buy and hold, while drawdown improves by 21.9%p (CAGR 14.9%, MDD -49.9%, exposure 92%).
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 |
|---|---|---|---|---|---|---|---|
| Donchian 채널 돌파 entryN=22, exitN=123 |
14.9% | -49.9% | 0.60 | 0.30 | 18.6x | 23 | 92% |
| ROC 모멘텀 n=121, threshold=-0.04 |
11.2% | -57.0% | 0.52 | 0.20 | 9.3x | 159 | 78% |
| SMA 크로스오버 fast=4, slow=202 |
9.5% | -49.8% | 0.48 | 0.19 | 6.8x | 67 | 71% |
| EMA 크로스오버 fast=40, slow=124 |
7.4% | -60.4% | 0.40 | 0.12 | 4.5x | 37 | 74% |
| Supertrend period=12, mult=2.9 |
6.0% | -50.5% | 0.35 | 0.12 | 3.4x | 132 | 63% |
| 볼린저 밴드 돌파 n=21, k=3.5 |
1.8% | -14.5% | 0.33 | 0.12 | 1.5x | 16 | 4% |
| MACD fast=14, slow=23, signal=15 |
3.0% | -68.6% | 0.24 | 0.04 | 1.8x | 336 | 50% |
| ADX / DI 방향성 period=32, threshold=22 |
1.3% | -35.2% | 0.18 | 0.04 | 1.3x | 38 | 12% |
| Parabolic SAR step=0.01, maxStep=0.14 |
0.3% | -62.3% | 0.14 | 0.01 | 1.1x | 304 | 57% |
| Keltner 채널 돌파 emaPeriod=44, atrPeriod=7, mult=3.8 |
0.9% | -44.0% | 0.14 | 0.02 | 1.2x | 30 | 13% |
| Buy and hold | 18.6% | -71.8% | 0.64 | 0.26 | 35.9x | 1 | 100% |
Rules of the top strategy
A new high means a trend starting; a new low means it’s over (turtle-trading style).
- Buy — Buy on a breakout above the highest high of the last 22 days
- Sell — Sell when price breaks below the lowest low of the last 123 days