Trend-Following Backtester · Guide · backtest 한국어
equity · US
Redwood Trust, Inc. backtest
10 trend-following strategies were compared on the full daily history of Redwood Trust, Inc.. 8 beat buy-and-hold CAGR; SMA 크로스오버 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is ADX / DI 방향성 (CAGR 1.1%, MDD -22.6%).
Results by strategy
8 of 10 beat buy and hold (CAGR -4.2%, drawdown -96.1%).
Sharpe leader (same as main): SMA 크로스오버 — CAGR 4.3%, MDD -72.0%, Sharpe 0.29, 54% exposure.
Return/drawdown alternative: ADX / DI 방향성 — CAGR is 8.5%p higher than buy and hold, while drawdown improves by 24.1%p (CAGR 1.1%, MDD -22.6%, exposure 4%).
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=50, slow=87 |
4.3% | -72.0% | 0.29 | 0.06 | 3.7x | 78 | 54% |
| Donchian 채널 돌파 entryN=61, exitN=44 |
3.4% | -65.6% | 0.26 | 0.05 | 2.8x | 60 | 47% |
| EMA 크로스오버 fast=29, slow=222 |
2.8% | -72.4% | 0.24 | 0.04 | 2.3x | 44 | 46% |
| ADX / DI 방향성 period=23, threshold=34 |
1.1% | -22.6% | 0.22 | 0.05 | 1.4x | 22 | 4% |
| ROC 모멘텀 n=120, threshold=0.2 |
1.6% | -57.4% | 0.18 | 0.03 | 1.6x | 200 | 21% |
| Keltner 채널 돌파 emaPeriod=77, atrPeriod=23, mult=3.7 |
1.4% | -55.4% | 0.17 | 0.03 | 1.6x | 68 | 30% |
| Supertrend period=14, mult=3.6 |
0.8% | -76.8% | 0.16 | 0.01 | 1.3x | 153 | 56% |
| 볼린저 밴드 돌파 n=51, k=3.3 |
-0.7% | -50.2% | -0.02 | -0.01 | 0.8x | 30 | 9% |
| Parabolic SAR step=0.005, maxStep=0.26 |
-6.3% | -93.5% | -0.11 | -0.07 | 0.1x | 259 | 54% |
| MACD fast=19, slow=27, signal=18 |
-9.7% | -97.3% | -0.19 | -0.10 | 0.0x | 420 | 51% |
| Buy and hold | -4.2% | -96.1% | 0.12 | -0.04 | 0.3x | 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 50-day average price crosses above the 87-day average
- Sell — Sell (to cash) when the 50-day average falls below the 87-day average