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; 볼린저 밴드 돌파 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is EMA 크로스오버 (CAGR 8.0%, MDD -30.2%).

Data 2021-07-22 ~ 2026-07-31daily bars 1,262 (5.0 years)Costs 0.5%Venue XNYSMonthly snapshot 2026-07-31

Results by strategy

0 of 10 beat buy and hold (CAGR 9.8%, drawdown -61.3%).

Sharpe leader (same as main): 볼린저 밴드 돌파 — CAGR 4.4%, MDD -12.7%, Sharpe 0.47, 10% exposure.

CAGR reference leader: EMA 크로스오버 — CAGR 8.0%, MDD -30.2%, exposure 58%.

Return/drawdown alternative: EMA 크로스오버 — CAGR is 5.4%p lower than buy and hold, while drawdown improves by 48.6%p (CAGR 8.0%, MDD -30.2%, exposure 58%).

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 · parametersCAGRMDDSharpeCalmarTotalTradesExposure
볼린저 밴드 돌파
n=29, k=3
4.4%-12.7%0.470.351.2x710%
EMA 크로스오버
fast=30, slow=202
8.0%-30.2%0.440.271.5x658%
SMA 크로스오버
fast=57, slow=215
5.9%-30.2%0.370.201.3x855%
Donchian 채널 돌파
entryN=88, exitN=28
3.9%-19.0%0.350.211.2x925%
Supertrend
period=19, mult=1.9
3.9%-41.1%0.280.101.2x6158%
ADX / DI 방향성
period=16, threshold=22
2.3%-21.3%0.230.111.1x2921%
Parabolic SAR
step=0.03, maxStep=0.08
1.7%-48.0%0.190.041.1x9557%
ROC 모멘텀
n=132, threshold=-0.04
0.2%-32.1%0.140.011.0x4463%
Keltner 채널 돌파
emaPeriod=46, atrPeriod=28, mult=3
0.2%-21.7%0.080.011.0x1723%
MACD
fast=18, slow=48, signal=11
-3.7%-48.2%-0.03-0.080.8x6750%
Buy and hold9.8%-61.3%0.450.161.6x1100%
1x 2022 2023 2024 2025 2026 EMA 크로스오버볼린저 밴드 돌파Buy and hold
볼린저 밴드 돌파 (Sharpe leader), EMA 크로스오버 (CAGR reference), Buy and hold.
0% -15% -31% -46% -61% 2022 2023 2024 2025 2026 Buy and holdEMA 크로스오버볼린저 밴드 돌파
볼린저 밴드 돌파 maximum drawdown -12.7% (2024-03-20 → 2024-07-10), recovered after 135 days.

Rules of the top strategy

Breaking above the upper band (average plus a multiple of volatility) signals a strong move up.

Method and caveats

Past performance does not guarantee future returns. Parameters were carried forward from the latest full optimization and replayed on this monthly dataset. 0.5% trading costs are included; taxes, slippage and rejected orders are not.
Re-optimize the same period and setupAll asset reports

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