Trend-Following Backtester · Guide · backtest 한국어
equity · CA
RIO2 Limited backtest
10 trend-following strategies were compared on the full daily history of RIO2 Limited. 6 beat buy-and-hold CAGR; SMA 크로스오버 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is ADX / DI 방향성 (CAGR 4.6%, MDD -31.8%).
Results by strategy
6 of 10 beat buy and hold (CAGR -19.8%, drawdown -100.0%).
Sharpe leader (same as main): SMA 크로스오버 — CAGR -0.7%, MDD -99.8%, Sharpe 0.38, 43% exposure.
CAGR reference leader: ADX / DI 방향성 — CAGR 4.6%, MDD -31.8%, exposure 1%.
Return/drawdown alternative: ADX / DI 방향성 — CAGR is 19.0%p higher than buy and hold, while drawdown improves by 0.2%p (CAGR 4.6%, MDD -31.8%, exposure 1%).
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=37, slow=43 |
-0.7% | -99.8% | 0.38 | -0.01 | 0.8x | 274 | 43% |
| ADX / DI 방향성 period=65, threshold=39 |
4.6% | -31.8% | 0.34 | 0.15 | 3.9x | 2 | 1% |
| EMA 크로스오버 fast=41, slow=171 |
2.0% | -99.3% | 0.28 | 0.02 | 1.8x | 39 | 33% |
| ROC 모멘텀 n=84, threshold=-0.02 |
-28.8% | -100.0% | 0.24 | -0.29 | 0.0x | 423 | 45% |
| Parabolic SAR step=0.005, maxStep=0.1 |
-21.6% | -100.0% | 0.24 | -0.22 | 0.0x | 154 | 39% |
| Donchian 채널 돌파 entryN=89, exitN=73 |
-19.1% | -100.0% | 0.23 | -0.19 | 0.0x | 63 | 34% |
| 볼린저 밴드 돌파 n=70, k=3.3 |
-2.1% | -99.7% | 0.22 | -0.02 | 0.5x | 40 | 16% |
| Keltner 채널 돌파 emaPeriod=68, atrPeriod=17, mult=4 |
-16.3% | -100.0% | 0.16 | -0.16 | 0.0x | 76 | 22% |
| MACD fast=21, slow=52, signal=20 |
-54.9% | -100.0% | 0.10 | -0.55 | 0.0x | 305 | 54% |
| Supertrend period=16, mult=5 |
-53.8% | -100.0% | 0.02 | -0.54 | 0.0x | 186 | 48% |
| Buy and hold | -19.8% | -100.0% | 0.57 | -0.20 | 0.0x | 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 37-day average price crosses above the 43-day average
- Sell — Sell (to cash) when the 37-day average falls below the 43-day average