Trend-Following Backtester · Guide · backtest 한국어
equity · CA
RB Global, Inc. backtest
10 trend-following strategies were compared on the full daily history of RB Global, Inc.. 0 beat buy-and-hold CAGR; SMA 크로스오버 ranks first by Sharpe, matching the main backtester.
Results by strategy
0 of 10 beat buy and hold (CAGR 10.2%, drawdown -39.9%).
Sharpe leader (same as main): SMA 크로스오버 — CAGR 4.5%, MDD -50.8%, Sharpe 0.30, 65% exposure.
No strategy retained at least 75% of buy-and-hold CAGR while reducing drawdown by both 20% relatively and 5 percentage points absolutely.
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 |
|---|---|---|---|---|---|---|---|
| SMA 크로스오버 fast=51, slow=227 |
4.5% | -50.8% | 0.30 | 0.09 | 2.7x | 31 | 65% |
| Donchian 채널 돌파 entryN=90, exitN=53 |
2.8% | -34.0% | 0.24 | 0.08 | 1.9x | 42 | 46% |
| EMA 크로스오버 fast=43, slow=212 |
1.9% | -58.1% | 0.20 | 0.03 | 1.5x | 38 | 69% |
| MACD fast=15, slow=29, signal=12 |
0.9% | -67.3% | 0.15 | 0.01 | 1.2x | 318 | 50% |
| ROC 모멘텀 n=131, threshold=-0.04 |
0.6% | -78.4% | 0.15 | 0.01 | 1.1x | 202 | 72% |
| Supertrend period=18, mult=4.6 |
0.9% | -63.7% | 0.15 | 0.01 | 1.2x | 90 | 57% |
| Parabolic SAR step=0.01, maxStep=0.18 |
-0.3% | -58.7% | 0.09 | -0.01 | 0.9x | 296 | 51% |
| ADX / DI 방향성 period=37, threshold=29 |
0.0% | -17.6% | 0.02 | 0.00 | 1.0x | 8 | 2% |
| Keltner 채널 돌파 emaPeriod=55, atrPeriod=14, mult=1.4 |
-1.8% | -67.8% | 0.01 | -0.03 | 0.7x | 162 | 49% |
| 볼린저 밴드 돌파 n=49, k=2.1 |
-1.7% | -57.4% | -0.02 | -0.03 | 0.7x | 102 | 34% |
| Buy and hold | 10.2% | -39.9% | 0.47 | 0.26 | 8.8x | 1 | 100% |
Rules of the top strategy
When the short average rises above the long average, it reads that as an uptrend starting.
- Buy — Buy when the 51-day average price crosses above the 227-day average
- Sell — Sell (to cash) when the 51-day average falls below the 227-day average