Trend-Following Backtester · Guide · backtest 한국어
equity · US
Rocket Companies, Inc. backtest
10 trend-following strategies were compared on the full daily history of Rocket Companies, Inc.. 9 beat buy-and-hold CAGR; 볼린저 밴드 돌파 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is ADX / DI 방향성 (CAGR 1.5%, MDD -24.3%).
Results by strategy
9 of 10 beat buy and hold (CAGR -7.6%, drawdown -84.9%).
Sharpe leader (same as main): 볼린저 밴드 돌파 — CAGR 6.6%, MDD -54.3%, Sharpe 0.33, 13% exposure.
Return/drawdown alternative: ADX / DI 방향성 — CAGR is 14.2%p higher than buy and hold, while drawdown improves by 30.6%p (CAGR 1.5%, MDD -24.3%, exposure 6%).
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=17, k=2.8 |
6.6% | -54.3% | 0.33 | 0.12 | 1.5x | 22 | 13% |
| Supertrend period=22, mult=2.3 |
4.9% | -63.7% | 0.32 | 0.08 | 1.3x | 59 | 41% |
| SMA 크로스오버 fast=25, slow=192 |
4.1% | -36.6% | 0.28 | 0.11 | 1.3x | 6 | 38% |
| MACD fast=6, slow=56, signal=14 |
2.6% | -78.4% | 0.28 | 0.03 | 1.2x | 102 | 48% |
| EMA 크로스오버 fast=27, slow=215 |
2.8% | -36.9% | 0.24 | 0.08 | 1.2x | 8 | 32% |
| ROC 모멘텀 n=103, threshold=-0.03 |
-1.2% | -70.8% | 0.19 | -0.02 | 0.9x | 50 | 47% |
| ADX / DI 방향성 period=13, threshold=38 |
1.5% | -24.3% | 0.18 | 0.06 | 1.1x | 10 | 6% |
| Donchian 채널 돌파 entryN=49, exitN=74 |
-4.1% | -73.0% | 0.16 | -0.06 | 0.8x | 10 | 55% |
| Keltner 채널 돌파 emaPeriod=14, atrPeriod=8, mult=2.1 |
-2.7% | -48.4% | 0.08 | -0.05 | 0.8x | 28 | 12% |
| Parabolic SAR step=0.01, maxStep=0.14 |
-11.9% | -79.0% | -0.01 | -0.15 | 0.5x | 85 | 48% |
| Buy and hold | -7.6% | -84.9% | 0.18 | -0.09 | 0.6x | 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 17-day average (2.8× volatility)
- Sell — Sell when the close falls back to the 17-day middle average