Trend-Following Backtester · Guide · backtest 한국어
equity · AU
Reliance Worldwide Corp. Ltd. backtest
10 trend-following strategies were compared on the full daily history of Reliance Worldwide Corp. Ltd.. 4 beat buy-and-hold CAGR; ROC 모멘텀 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is SMA 크로스오버 (CAGR 6.8%, MDD -36.3%).
Results by strategy
4 of 10 beat buy and hold (CAGR 3.7%, drawdown -72.3%).
Sharpe leader (same as main): ROC 모멘텀 — CAGR 7.7%, MDD -39.0%, Sharpe 0.42, 47% exposure.
Return/drawdown alternative: SMA 크로스오버 — CAGR is 3.9%p higher than buy and hold, while drawdown improves by 33.3%p (CAGR 6.8%, MDD -36.3%, exposure 50%).
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 |
|---|---|---|---|---|---|---|---|
| ROC 모멘텀 n=103, threshold=0.03 |
7.7% | -39.0% | 0.42 | 0.20 | 2.1x | 69 | 47% |
| SMA 크로스오버 fast=4, slow=142 |
6.8% | -36.3% | 0.39 | 0.19 | 2.0x | 31 | 50% |
| Supertrend period=27, mult=4.7 |
6.9% | -47.5% | 0.38 | 0.14 | 2.0x | 31 | 52% |
| Donchian 채널 돌파 entryN=45, exitN=52 |
6.1% | -37.2% | 0.35 | 0.16 | 1.8x | 25 | 56% |
| 볼린저 밴드 돌파 n=31, k=2.7 |
2.5% | -19.1% | 0.26 | 0.13 | 1.3x | 29 | 17% |
| EMA 크로스오버 fast=49, slow=195 |
3.0% | -42.3% | 0.24 | 0.07 | 1.4x | 11 | 48% |
| ADX / DI 방향성 period=38, threshold=12 |
2.5% | -36.0% | 0.22 | 0.07 | 1.3x | 86 | 40% |
| MACD fast=9, slow=58, signal=15 |
1.1% | -49.5% | 0.17 | 0.02 | 1.1x | 135 | 49% |
| Parabolic SAR step=0.01, maxStep=0.34 |
0.6% | -57.4% | 0.15 | 0.01 | 1.1x | 133 | 49% |
| Keltner 채널 돌파 emaPeriod=34, atrPeriod=22, mult=3.5 |
-0.5% | -22.5% | 0.01 | -0.02 | 0.9x | 25 | 16% |
| Buy and hold | 3.7% | -72.3% | 0.28 | 0.05 | 1.5x | 1 | 100% |
Rules of the top strategy
Rides the trend when recent return (momentum) over a window is above a threshold.
- Buy — Buy when the last 103-day return is greater than 3%
- Sell — Sell when the 103-day return drops to 3% or below