Trend-Following Backtester · Guide · backtest 한국어
equity · US
Republic Services, Inc. backtest
10 trend-following strategies were compared on the full daily history of Republic Services, Inc.. 0 beat buy-and-hold CAGR; ROC 모멘텀 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is ROC 모멘텀 (CAGR 9.0%, MDD -38.1%).
Results by strategy
0 of 10 beat buy and hold (CAGR 9.5%, drawdown -66.0%).
Sharpe leader (same as main): ROC 모멘텀 — CAGR 9.0%, MDD -38.1%, Sharpe 0.53, 86% exposure.
Return/drawdown alternative: ROC 모멘텀 — CAGR is 0.5%p lower than buy and hold, while drawdown improves by 27.8%p (CAGR 9.0%, MDD -38.1%, exposure 86%).
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 |
|---|---|---|---|---|---|---|---|
| ROC 모멘텀 n=262, threshold=-0.1 |
9.0% | -38.1% | 0.53 | 0.24 | 11.5x | 41 | 86% |
| EMA 크로스오버 fast=44, slow=272 |
6.4% | -39.7% | 0.42 | 0.16 | 5.7x | 30 | 80% |
| Donchian 채널 돌파 entryN=14, exitN=73 |
6.3% | -53.3% | 0.37 | 0.12 | 5.5x | 65 | 89% |
| SMA 크로스오버 fast=12, slow=187 |
4.0% | -44.0% | 0.30 | 0.09 | 3.0x | 81 | 74% |
| MACD fast=17, slow=46, signal=24 |
3.7% | -58.8% | 0.29 | 0.06 | 2.8x | 283 | 51% |
| 볼린저 밴드 돌파 n=46, k=3.2 |
0.8% | -23.2% | 0.16 | 0.03 | 1.2x | 20 | 7% |
| Supertrend period=24, mult=2.7 |
0.9% | -57.2% | 0.14 | 0.02 | 1.3x | 225 | 61% |
| Parabolic SAR step=0.005, maxStep=0.2 |
0.8% | -67.0% | 0.14 | 0.01 | 1.3x | 253 | 59% |
| ADX / DI 방향성 period=35, threshold=29 |
0.2% | -8.1% | 0.08 | 0.02 | 1.0x | 12 | 4% |
| Keltner 채널 돌파 emaPeriod=58, atrPeriod=21, mult=2 |
-2.7% | -67.8% | -0.11 | -0.04 | 0.5x | 170 | 48% |
| Buy and hold | 9.5% | -66.0% | 0.46 | 0.14 | 12.9x | 1 | 100% |
Rules of the top strategy
Rides the trend when recent return (momentum) over a window is above a threshold.
- Buy — Buy when the last 262-day return is greater than -10%
- Sell — Sell when the 262-day return drops to -10% or below