Trend-Following Backtester · Guide · backtest 한국어
equity · US
Rollins, Inc. backtest
10 trend-following strategies were compared on the full daily history of Rollins, Inc.. 0 beat buy-and-hold CAGR; EMA 크로스오버 ranks first by Sharpe, matching the main backtester.
Results by strategy
0 of 10 beat buy and hold (CAGR 12.0%, drawdown -62.9%).
Sharpe leader (same as main): EMA 크로스오버 — CAGR 7.8%, MDD -48.0%, Sharpe 0.43, 74% 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 |
|---|---|---|---|---|---|---|---|
| EMA 크로스오버 fast=66, slow=284 |
7.8% | -48.0% | 0.43 | 0.16 | 32.9x | 34 | 74% |
| SMA 크로스오버 fast=42, slow=210 |
6.6% | -46.7% | 0.38 | 0.14 | 19.0x | 64 | 68% |
| Donchian 채널 돌파 entryN=12, exitN=74 |
5.6% | -69.3% | 0.34 | 0.08 | 12.4x | 136 | 88% |
| Supertrend period=18, mult=5 |
2.9% | -51.1% | 0.24 | 0.06 | 3.8x | 156 | 58% |
| 볼린저 밴드 돌파 n=72, k=3.5 |
1.0% | -48.5% | 0.15 | 0.02 | 1.6x | 34 | 10% |
| ROC 모멘텀 n=146, threshold=-0.01 |
-0.2% | -88.5% | 0.10 | -0.00 | 0.9x | 426 | 71% |
| Parabolic SAR step=0.005, maxStep=0.1 |
-0.6% | -75.6% | 0.07 | -0.01 | 0.7x | 372 | 54% |
| Keltner 채널 돌파 emaPeriod=53, atrPeriod=15, mult=3.4 |
-0.6% | -62.0% | 0.03 | -0.01 | 0.7x | 148 | 27% |
| ADX / DI 방향성 period=26, threshold=38 |
0.0% | -18.6% | 0.02 | 0.00 | 1.0x | 8 | 1% |
| MACD fast=24, slow=58, signal=22 |
-3.0% | -85.6% | -0.05 | -0.03 | 0.2x | 442 | 51% |
| Buy and hold | 12.0% | -62.9% | 0.53 | 0.19 | 194.6x | 1 | 100% |
Rules of the top strategy
Uses two exponential averages (more weight on recent prices) and trades their crossover.
- Buy — Buy when the 66-day EMA crosses above the 284-day EMA
- Sell — Sell when the 66-day EMA falls below the 284-day EMA