Trend-Following Backtester · Guide · backtest 한국어
equity · US
RH backtest
10 trend-following strategies were compared on the full daily history of RH. 7 beat buy-and-hold CAGR; Keltner 채널 돌파 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is Donchian 채널 돌파 (CAGR 15.3%, MDD -56.8%).
Results by strategy
7 of 10 beat buy and hold (CAGR 12.0%, drawdown -84.7%).
Sharpe leader (same as main): Keltner 채널 돌파 — CAGR 6.6%, MDD -31.1%, Sharpe 0.65, 7% exposure.
CAGR reference leader: Supertrend — CAGR 16.2%, MDD -61.3%, exposure 56%.
Return/drawdown alternative: Donchian 채널 돌파 — CAGR is 5.4%p lower than buy and hold, while drawdown improves by 53.6%p (CAGR 15.3%, MDD -56.8%, exposure 51%).
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 |
|---|---|---|---|---|---|---|---|
| Keltner 채널 돌파 emaPeriod=13, atrPeriod=15, mult=3.5 |
6.6% | -31.1% | 0.65 | 0.21 | 2.4x | 16 | 7% |
| Supertrend period=23, mult=4.5 |
16.2% | -61.3% | 0.58 | 0.26 | 8.0x | 52 | 56% |
| ROC 모멘텀 n=22, threshold=0 |
15.9% | -75.0% | 0.57 | 0.21 | 7.7x | 250 | 54% |
| 볼린저 밴드 돌파 n=19, k=1.8 |
13.6% | -68.1% | 0.57 | 0.20 | 5.8x | 138 | 36% |
| Donchian 채널 돌파 entryN=23, exitN=20 |
15.3% | -56.8% | 0.56 | 0.27 | 7.1x | 72 | 51% |
| ADX / DI 방향성 period=27, threshold=11 |
13.5% | -69.6% | 0.53 | 0.19 | 5.8x | 142 | 48% |
| Parabolic SAR step=0.005, maxStep=0.38 |
13.8% | -74.6% | 0.53 | 0.18 | 6.0x | 114 | 53% |
| MACD fast=19, slow=28, signal=13 |
12.3% | -75.4% | 0.49 | 0.16 | 5.0x | 162 | 50% |
| EMA 크로스오버 fast=17, slow=238 |
6.8% | -76.7% | 0.36 | 0.09 | 2.5x | 24 | 52% |
| SMA 크로스오버 fast=53, slow=55 |
3.0% | -76.5% | 0.27 | 0.04 | 1.5x | 149 | 56% |
| Buy and hold | 12.0% | -84.7% | 0.49 | 0.14 | 4.8x | 1 | 100% |
Rules of the top strategy
Breaking above the channel top (average plus a multiple of volatility) signals an upside breakout.
- Buy — Buy when the close breaks above the 13-day average + 3.5× volatility (Keltner top)
- Sell — Sell when the close falls back to the 13-day average