Trend-Following Backtester · Guide · backtest 한국어
equity · US
ResMed Inc. backtest
10 trend-following strategies were compared on the full daily history of ResMed Inc.. 0 beat buy-and-hold CAGR; SMA 크로스오버 ranks first by Sharpe, matching the main backtester.
Results by strategy
0 of 10 beat buy and hold (CAGR 20.7%, drawdown -61.6%).
Sharpe leader (same as main): SMA 크로스오버 — CAGR 17.3%, MDD -61.6%, Sharpe 0.65, 71% exposure.
No strategy retained at least 75% of buy-and-hold CAGR while reducing drawdown by both 20% relatively and 5 percentage points absolutely.
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=73, slow=253 |
17.3% | -61.6% | 0.65 | 0.28 | 148.0x | 30 | 71% |
| Donchian 채널 돌파 entryN=6, exitN=62 |
14.5% | -68.9% | 0.55 | 0.21 | 67.9x | 101 | 92% |
| EMA 크로스오버 fast=59, slow=143 |
13.1% | -63.6% | 0.54 | 0.21 | 47.2x | 40 | 69% |
| ROC 모멘텀 n=143, threshold=-0.04 |
12.9% | -61.8% | 0.53 | 0.21 | 43.9x | 166 | 76% |
| MACD fast=24, slow=48, signal=19 |
5.8% | -52.1% | 0.34 | 0.11 | 5.8x | 287 | 52% |
| Supertrend period=20, mult=3.1 |
5.1% | -64.0% | 0.32 | 0.08 | 4.7x | 219 | 58% |
| ADX / DI 방향성 period=27, threshold=16 |
3.1% | -55.6% | 0.25 | 0.06 | 2.6x | 218 | 37% |
| 볼린저 밴드 돌파 n=58, k=2 |
2.5% | -44.1% | 0.22 | 0.06 | 2.2x | 133 | 41% |
| Keltner 채널 돌파 emaPeriod=47, atrPeriod=13, mult=1.8 |
1.6% | -54.4% | 0.19 | 0.03 | 1.6x | 221 | 47% |
| Parabolic SAR step=0.025, maxStep=0.14 |
0.5% | -91.4% | 0.16 | 0.01 | 1.2x | 671 | 55% |
| Buy and hold | 20.7% | -61.6% | 0.67 | 0.34 | 355.5x | 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 73-day average price crosses above the 253-day average
- Sell — Sell (to cash) when the 73-day average falls below the 253-day average