Trend-Following Backtester · Guide · backtest 한국어
equity · US
Ryan Specialty Holdings, Inc. backtest
10 trend-following strategies were compared on the full daily history of Ryan Specialty Holdings, Inc.. 0 beat buy-and-hold CAGR; EMA 크로스오버 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is EMA 크로스오버 (CAGR 7.9%, MDD -30.2%).
Results by strategy
0 of 10 beat buy and hold (CAGR 8.6%, drawdown -61.3%).
Sharpe leader (same as main): EMA 크로스오버 — CAGR 7.9%, MDD -30.2%, Sharpe 0.44, 57% exposure.
Return/drawdown alternative: EMA 크로스오버 — CAGR is 0.7%p lower than buy and hold, while drawdown improves by 31.1%p (CAGR 7.9%, MDD -30.2%, exposure 57%).
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=30, slow=202 |
7.9% | -30.2% | 0.44 | 0.26 | 1.5x | 6 | 57% |
| SMA 크로스오버 fast=57, slow=215 |
5.8% | -30.2% | 0.36 | 0.19 | 1.3x | 8 | 54% |
| 볼린저 밴드 돌파 n=29, k=3 |
3.3% | -12.7% | 0.36 | 0.26 | 1.2x | 8 | 10% |
| Donchian 채널 돌파 entryN=88, exitN=28 |
2.9% | -19.0% | 0.28 | 0.15 | 1.2x | 9 | 27% |
| Supertrend period=19, mult=1.9 |
3.0% | -41.1% | 0.25 | 0.07 | 1.2x | 62 | 58% |
| ADX / DI 방향성 period=16, threshold=22 |
1.9% | -21.3% | 0.20 | 0.09 | 1.1x | 30 | 22% |
| Parabolic SAR step=0.03, maxStep=0.08 |
-0.1% | -48.0% | 0.12 | -0.00 | 1.0x | 97 | 57% |
| ROC 모멘텀 n=132, threshold=-0.04 |
-0.2% | -33.5% | 0.12 | -0.01 | 1.0x | 47 | 62% |
| Keltner 채널 돌파 emaPeriod=46, atrPeriod=28, mult=3 |
-0.7% | -21.7% | 0.02 | -0.03 | 1.0x | 17 | 25% |
| MACD fast=18, slow=48, signal=11 |
-4.5% | -48.2% | -0.06 | -0.09 | 0.8x | 68 | 50% |
| Buy and hold | 8.6% | -61.3% | 0.42 | 0.14 | 1.5x | 1 | 100% |
Rules of the top strategy
Uses two exponential averages (more weight on recent prices) and trades their crossover.
- Buy — Buy when the 30-day EMA crosses above the 202-day EMA
- Sell — Sell when the 30-day EMA falls below the 202-day EMA