Trend-Following Backtester · Guide · backtest 한국어
equity · US
Regional Management Corp. backtest
10 trend-following strategies were compared on the full daily history of Regional Management Corp.. 6 beat buy-and-hold CAGR; ADX / DI 방향성 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is ADX / DI 방향성 (CAGR 8.8%, MDD -29.4%).
Results by strategy
6 of 10 beat buy and hold (CAGR 4.8%, drawdown -71.8%).
Sharpe leader (same as main): ADX / DI 방향성 — CAGR 8.8%, MDD -29.4%, Sharpe 0.58, 20% exposure.
CAGR reference leader: SMA 크로스오버 — CAGR 9.8%, MDD -48.9%, exposure 52%.
Return/drawdown alternative: ADX / DI 방향성 — CAGR is 4.0%p higher than buy and hold, while drawdown improves by 42.4%p (CAGR 8.8%, MDD -29.4%, exposure 20%).
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 |
|---|---|---|---|---|---|---|---|
| ADX / DI 방향성 period=37, threshold=19 |
8.8% | -29.4% | 0.58 | 0.30 | 3.3x | 34 | 20% |
| SMA 크로스오버 fast=27, slow=161 |
9.8% | -48.9% | 0.47 | 0.20 | 3.8x | 27 | 52% |
| EMA 크로스오버 fast=29, slow=117 |
9.4% | -42.0% | 0.46 | 0.22 | 3.6x | 29 | 52% |
| Supertrend period=29, mult=4.4 |
9.7% | -50.0% | 0.46 | 0.19 | 3.8x | 40 | 57% |
| Donchian 채널 돌파 entryN=68, exitN=26 |
8.1% | -49.6% | 0.44 | 0.16 | 3.0x | 34 | 41% |
| ROC 모멘텀 n=143, threshold=0.12 |
6.6% | -48.1% | 0.39 | 0.14 | 2.5x | 80 | 40% |
| Keltner 채널 돌파 emaPeriod=55, atrPeriod=23, mult=2.2 |
4.6% | -39.3% | 0.31 | 0.12 | 1.9x | 62 | 37% |
| 볼린저 밴드 돌파 n=41, k=1.9 |
3.8% | -39.8% | 0.28 | 0.09 | 1.7x | 78 | 38% |
| MACD fast=11, slow=29, signal=18 |
0.9% | -67.6% | 0.19 | 0.01 | 1.1x | 204 | 50% |
| Parabolic SAR step=0.01, maxStep=0.24 |
-2.9% | -75.9% | 0.04 | -0.04 | 0.7x | 210 | 52% |
| Buy and hold | 4.8% | -71.8% | 0.33 | 0.07 | 2.0x | 1 | 100% |
Rules of the top strategy
Looks at both the direction and the strength of the trend; holds only in a strong uptrend.
- Buy — Buy when up-direction (+DI) beats down-direction (−DI) and trend strength (ADX, 37-day) is ≥ 19
- Sell — Sell when direction flips or the trend weakens (ADX < 19)