Trend-Following Backtester · Guide · backtest 한국어
equity · US
RH backtest
10 trend-following strategies were compared on the full daily history of RH. 6 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 15.9%, MDD -56.8%).
Results by strategy
6 of 10 beat buy and hold (CAGR 12.9%, drawdown -84.7%).
Sharpe leader (same as main): Keltner 채널 돌파 — CAGR 6.6%, MDD -31.1%, Sharpe 0.66, 7% exposure.
CAGR reference leader: Supertrend — CAGR 17.6%, MDD -61.3%, exposure 56%.
Return/drawdown alternative: Donchian 채널 돌파 — CAGR is 6.3%p lower than buy and hold, while drawdown improves by 53.6%p (CAGR 15.9%, 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% | 0.66 | 0.21 | 2.4x | 16 | 7% |
| Supertrend period=23, mult=4.5 |
17.6% | -61.3% | 0.61 | 0.29 | 9.3x | 51 | 56% |
| 볼린저 밴드 돌파 n=19, k=1.8 |
14.5% | -68.1% | 0.59 | 0.21 | 6.4x | 136 | 37% |
| Donchian 채널 돌파 entryN=23, exitN=20 |
15.9% | -56.8% | 0.58 | 0.28 | 7.6x | 71 | 51% |
| Parabolic SAR step=0.005, maxStep=0.38 |
15.8% | -74.6% | 0.57 | 0.21 | 7.5x | 112 | 53% |
| ROC 모멘텀 n=22, threshold=0 |
15.3% | -75.0% | 0.56 | 0.20 | 7.1x | 249 | 54% |
| ADX / DI 방향성 period=27, threshold=11 |
14.1% | -69.6% | 0.54 | 0.20 | 6.1x | 141 | 48% |
| MACD fast=19, slow=28, signal=13 |
12.8% | -75.4% | 0.50 | 0.17 | 5.3x | 160 | 50% |
| EMA 크로스오버 fast=17, slow=238 |
8.8% | -70.0% | 0.41 | 0.13 | 3.2x | 22 | 52% |
| SMA 크로스오버 fast=53, slow=55 |
3.9% | -76.5% | 0.29 | 0.05 | 1.7x | 149 | 55% |
| Buy and hold | 12.9% | -84.7% | 0.50 | 0.15 | 5.3x | 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