Trend-Following Backtester · Guide · backtest 한국어
equity · US
Ryerson Holding Corporation backtest
10 trend-following strategies were compared on the full daily history of Ryerson Holding Corporation. 5 beat buy-and-hold CAGR; 볼린저 밴드 돌파 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is 볼린저 밴드 돌파 (CAGR 14.3%, MDD -39.0%).
Results by strategy
5 of 10 beat buy and hold (CAGR 7.6%, drawdown -81.2%).
Sharpe leader (same as main): 볼린저 밴드 돌파 — CAGR 14.3%, MDD -39.0%, Sharpe 0.72, 11% exposure.
CAGR reference leader: Donchian 채널 돌파 — CAGR 15.9%, MDD -49.3%, exposure 35%.
Return/drawdown alternative: 볼린저 밴드 돌파 — CAGR is 6.7%p higher than buy and hold, while drawdown improves by 42.3%p (CAGR 14.3%, MDD -39.0%, exposure 11%).
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 |
|---|---|---|---|---|---|---|---|
| 볼린저 밴드 돌파 n=20, k=2.9 |
14.3% | -39.0% | 0.72 | 0.37 | 5.0x | 30 | 11% |
| ADX / DI 방향성 period=15, threshold=48 |
5.3% | -11.9% | 0.67 | 0.45 | 1.9x | 2 | 2% |
| Donchian 채널 돌파 entryN=22, exitN=8 |
15.9% | -49.3% | 0.59 | 0.32 | 6.0x | 90 | 35% |
| Supertrend period=10, mult=1.9 |
13.3% | -76.2% | 0.50 | 0.17 | 4.5x | 150 | 49% |
| Keltner 채널 돌파 emaPeriod=32, atrPeriod=8, mult=1.7 |
10.0% | -55.8% | 0.45 | 0.18 | 3.2x | 84 | 32% |
| MACD fast=10, slow=29, signal=17 |
10.0% | -74.5% | 0.44 | 0.13 | 3.2x | 186 | 52% |
| EMA 크로스오버 fast=9, slow=18 |
5.9% | -66.8% | 0.35 | 0.09 | 2.0x | 146 | 50% |
| Parabolic SAR step=0.015, maxStep=0.3 |
5.9% | -67.9% | 0.35 | 0.09 | 2.0x | 218 | 49% |
| ROC 모멘텀 n=26, threshold=0.1 |
4.9% | -74.6% | 0.31 | 0.07 | 1.8x | 198 | 31% |
| SMA 크로스오버 fast=55, slow=257 |
-0.1% | -80.1% | 0.22 | -0.00 | 1.0x | 19 | 49% |
| Buy and hold | 7.6% | -81.2% | 0.43 | 0.09 | 2.4x | 1 | 100% |
Rules of the top strategy
Breaking above the upper band (average plus a multiple of volatility) signals a strong move up.
- Buy — Buy when the close breaks above the upper band of the 20-day average (2.9× volatility)
- Sell — Sell when the close falls back to the 20-day middle average