Trend-Following Backtester · Guide · backtest 한국어
equity · US
Raymond James Financial, Inc. backtest
10 trend-following strategies were compared on the full daily history of Raymond James Financial, Inc.. 0 beat buy-and-hold CAGR; SMA 크로스오버 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is SMA 크로스오버 (CAGR 11.2%, MDD -51.3%).
Results by strategy
0 of 10 beat buy and hold (CAGR 14.1%, drawdown -70.0%).
Sharpe leader (same as main): SMA 크로스오버 — CAGR 11.2%, MDD -51.3%, Sharpe 0.53, 61% exposure.
Return/drawdown alternative: SMA 크로스오버 — CAGR is 2.9%p lower than buy and hold, while drawdown improves by 18.6%p (CAGR 11.2%, MDD -51.3%, exposure 61%).
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 |
|---|---|---|---|---|---|---|---|
| SMA 크로스오버 fast=30, slow=100 |
11.2% | -51.3% | 0.53 | 0.22 | 98.1x | 107 | 61% |
| Donchian 채널 돌파 entryN=47, exitN=60 |
10.0% | -57.1% | 0.49 | 0.17 | 60.2x | 97 | 64% |
| EMA 크로스오버 fast=43, slow=104 |
7.8% | -56.6% | 0.41 | 0.14 | 25.6x | 101 | 65% |
| Supertrend period=21, mult=4.6 |
7.2% | -64.6% | 0.40 | 0.11 | 20.3x | 181 | 56% |
| Keltner 채널 돌파 emaPeriod=20, atrPeriod=16, mult=3.2 |
3.5% | -32.6% | 0.35 | 0.11 | 4.3x | 116 | 13% |
| ADX / DI 방향성 period=32, threshold=18 |
3.9% | -55.0% | 0.31 | 0.07 | 5.1x | 160 | 25% |
| ROC 모멘텀 n=136, threshold=-0.04 |
4.7% | -85.9% | 0.30 | 0.05 | 7.2x | 357 | 72% |
| 볼린저 밴드 돌파 n=59, k=1.6 |
3.8% | -72.1% | 0.28 | 0.05 | 4.9x | 219 | 43% |
| Parabolic SAR step=0.005, maxStep=0.36 |
3.4% | -83.0% | 0.26 | 0.04 | 4.2x | 373 | 56% |
| MACD fast=24, slow=61, signal=20 |
1.9% | -77.2% | 0.20 | 0.02 | 2.3x | 417 | 53% |
| Buy and hold | 14.1% | -70.0% | 0.54 | 0.20 | 294.2x | 1 | 100% |
Rules of the top strategy
When the short average rises above the long average, it reads that as an uptrend starting.
- Buy — Buy when the 30-day average price crosses above the 100-day average
- Sell — Sell (to cash) when the 30-day average falls below the 100-day average