Trend-Following Backtester · Guide · backtest 한국어
equity · US
REX American Resources Corporation backtest
10 trend-following strategies were compared on the full daily history of REX American Resources Corporation. 0 beat buy-and-hold CAGR; 볼린저 밴드 돌파 ranks first by Sharpe, matching the main backtester.
Results by strategy
0 of 10 beat buy and hold (CAGR 12.0%, drawdown -84.8%).
Sharpe leader (same as main): 볼린저 밴드 돌파 — CAGR 7.4%, MDD -63.6%, Sharpe 0.39, 38% exposure.
No strategy retained at least 75% of buy-and-hold CAGR while reducing drawdown by both 20% relatively and 5 percentage points absolutely.
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 |
|---|---|---|---|---|---|---|---|
| 볼린저 밴드 돌파 n=51, k=1.6 |
7.4% | -63.6% | 0.39 | 0.12 | 20.1x | 218 | 38% |
| Supertrend period=7, mult=4.4 |
7.3% | -79.0% | 0.37 | 0.09 | 19.3x | 186 | 53% |
| Donchian 채널 돌파 entryN=32, exitN=16 |
5.9% | -76.5% | 0.34 | 0.08 | 11.0x | 224 | 41% |
| MACD fast=15, slow=26, signal=13 |
5.9% | -78.2% | 0.34 | 0.08 | 11.3x | 620 | 52% |
| Keltner 채널 돌파 emaPeriod=59, atrPeriod=27, mult=3.3 |
5.1% | -67.4% | 0.32 | 0.08 | 8.2x | 140 | 29% |
| ROC 모멘텀 n=97, threshold=-0.15 |
4.8% | -93.6% | 0.32 | 0.05 | 7.3x | 335 | 80% |
| SMA 크로스오버 fast=13, slow=69 |
4.3% | -83.4% | 0.30 | 0.05 | 5.9x | 198 | 53% |
| EMA 크로스오버 fast=24, slow=55 |
3.6% | -82.6% | 0.28 | 0.04 | 4.5x | 164 | 53% |
| ADX / DI 방향성 period=36, threshold=33 |
2.0% | -26.0% | 0.26 | 0.08 | 2.3x | 18 | 4% |
| Parabolic SAR step=0.005, maxStep=0.2 |
2.0% | -79.8% | 0.23 | 0.02 | 2.3x | 328 | 51% |
| Buy and hold | 12.0% | -84.8% | 0.48 | 0.14 | 116.9x | 1 | 100% |
Rules of the top strategy
Breaking above the upper band (average plus a multiple of volatility) signals a strong move up.
- Buy — Buy when the close breaks above the upper band of the 51-day average (1.6× volatility)
- Sell — Sell when the close falls back to the 51-day middle average