Trend-Following Backtester · Guide · backtest 한국어
equity · CA
Richelieu Hardware Ltd backtest
10 trend-following strategies were compared on the full daily history of Richelieu Hardware Ltd. 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 14.1%, drawdown -47.0%).
Sharpe leader (same as main): SMA 크로스오버 — CAGR 12.3%, MDD -39.8%, Sharpe 0.62, 69% 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=57, slow=187 |
12.3% | -39.8% | 0.62 | 0.31 | 33.8x | 32 | 69% |
| EMA 크로스오버 fast=59, slow=178 |
12.1% | -42.7% | 0.60 | 0.28 | 31.4x | 24 | 73% |
| ROC 모멘텀 n=181, threshold=-0.03 |
10.6% | -39.7% | 0.54 | 0.27 | 21.0x | 102 | 74% |
| Donchian 채널 돌파 entryN=43, exitN=59 |
9.4% | -59.4% | 0.52 | 0.16 | 15.2x | 56 | 71% |
| ADX / DI 방향성 period=28, threshold=31 |
1.3% | -16.5% | 0.18 | 0.08 | 1.5x | 40 | 9% |
| Parabolic SAR step=0.005, maxStep=0.34 |
0.8% | -64.1% | 0.14 | 0.01 | 1.3x | 224 | 55% |
| 볼린저 밴드 돌파 n=48, k=3.5 |
0.4% | -54.2% | 0.09 | 0.01 | 1.1x | 50 | 15% |
| Supertrend period=9, mult=4.7 |
-0.9% | -67.2% | 0.06 | -0.01 | 0.8x | 148 | 64% |
| Keltner 채널 돌파 emaPeriod=19, atrPeriod=8, mult=3.8 |
0.1% | -31.0% | 0.05 | 0.00 | 1.0x | 56 | 8% |
| MACD fast=23, slow=54, signal=22 |
-2.5% | -78.7% | -0.03 | -0.03 | 0.5x | 294 | 49% |
| Buy and hold | 14.1% | -47.0% | 0.60 | 0.30 | 53.9x | 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 57-day average price crosses above the 187-day average
- Sell — Sell (to cash) when the 57-day average falls below the 187-day average