Trend-Following Backtester · Guide · backtest 한국어
equity · US
Rayonier Advanced Materials Inc. backtest
10 trend-following strategies were compared on the full daily history of Rayonier Advanced Materials Inc.. 10 beat buy-and-hold CAGR; Donchian 채널 돌파 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is Keltner 채널 돌파 (CAGR 7.4%, MDD -54.9%).
Results by strategy
10 of 10 beat buy and hold (CAGR -11.8%, drawdown -97.8%).
Sharpe leader (same as main): Donchian 채널 돌파 — CAGR 20.2%, MDD -75.0%, Sharpe 0.61, 51% exposure.
Return/drawdown alternative: Keltner 채널 돌파 — CAGR is 32.0%p higher than buy and hold, while drawdown improves by 22.8%p (CAGR 7.4%, MDD -54.9%, exposure 37%).
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 |
|---|---|---|---|---|---|---|---|
| Donchian 채널 돌파 entryN=15, exitN=21 |
20.2% | -75.0% | 0.61 | 0.27 | 9.3x | 69 | 51% |
| 볼린저 밴드 돌파 n=22, k=2.3 |
14.5% | -55.4% | 0.54 | 0.26 | 5.2x | 69 | 24% |
| ROC 모멘텀 n=144, threshold=-0.02 |
12.7% | -68.1% | 0.48 | 0.19 | 4.2x | 55 | 47% |
| SMA 크로스오버 fast=13, slow=49 |
11.1% | -76.0% | 0.46 | 0.15 | 3.6x | 55 | 47% |
| MACD fast=19, slow=50, signal=23 |
7.3% | -76.8% | 0.40 | 0.10 | 2.4x | 109 | 52% |
| Keltner 채널 돌파 emaPeriod=56, atrPeriod=13, mult=1.2 |
7.4% | -54.9% | 0.38 | 0.13 | 2.4x | 66 | 37% |
| Supertrend period=20, mult=1.9 |
6.7% | -69.9% | 0.37 | 0.10 | 2.2x | 139 | 47% |
| EMA 크로스오버 fast=32, slow=141 |
4.9% | -66.6% | 0.33 | 0.07 | 1.8x | 18 | 44% |
| ADX / DI 방향성 period=17, threshold=23 |
2.6% | -76.1% | 0.26 | 0.03 | 1.4x | 89 | 26% |
| Parabolic SAR step=0.015, maxStep=0.34 |
-8.1% | -92.1% | 0.11 | -0.09 | 0.4x | 209 | 49% |
| Buy and hold | -11.8% | -97.8% | 0.20 | -0.12 | 0.2x | 1 | 100% |
Rules of the top strategy
A new high means a trend starting; a new low means it’s over (turtle-trading style).
- Buy — Buy on a breakout above the highest high of the last 15 days
- Sell — Sell when price breaks below the lowest low of the last 21 days