Trend-Following Backtester · Guide · backtest 한국어
equity · CA
Russel Metals Inc. backtest
10 trend-following strategies were compared on the full daily history of Russel Metals Inc.. 0 beat buy-and-hold CAGR; SMA 크로스오버 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is SMA 크로스오버 (CAGR 10.8%, MDD -35.0%).
Results by strategy
0 of 10 beat buy and hold (CAGR 10.9%, drawdown -71.7%).
Sharpe leader (same as main): SMA 크로스오버 — CAGR 10.8%, MDD -35.0%, Sharpe 0.55, 61% exposure.
Return/drawdown alternative: SMA 크로스오버 — CAGR is 0.2%p lower than buy and hold, while drawdown improves by 36.6%p (CAGR 10.8%, MDD -35.0%, exposure 61%).
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=17, slow=99 |
10.8% | -35.0% | 0.55 | 0.31 | 21.4x | 85 | 61% |
| Donchian 채널 돌파 entryN=54, exitN=64 |
10.5% | -55.4% | 0.52 | 0.19 | 19.8x | 53 | 65% |
| EMA 크로스오버 fast=42, slow=87 |
9.5% | -40.9% | 0.50 | 0.23 | 15.1x | 61 | 63% |
| 볼린저 밴드 돌파 n=87, k=1.5 |
6.8% | -37.1% | 0.42 | 0.18 | 7.1x | 97 | 45% |
| Supertrend period=22, mult=4.8 |
7.5% | -40.7% | 0.42 | 0.18 | 8.6x | 87 | 61% |
| ROC 모멘텀 n=81, threshold=-0.03 |
7.4% | -49.4% | 0.41 | 0.15 | 8.4x | 273 | 67% |
| Parabolic SAR step=0.01, maxStep=0.18 |
3.2% | -59.7% | 0.25 | 0.05 | 2.5x | 385 | 55% |
| Keltner 채널 돌파 emaPeriod=48, atrPeriod=28, mult=4 |
1.6% | -64.6% | 0.18 | 0.02 | 1.6x | 63 | 22% |
| MACD fast=17, slow=48, signal=18 |
0.3% | -61.3% | 0.13 | 0.00 | 1.1x | 353 | 49% |
| ADX / DI 방향성 period=32, threshold=23 |
-0.3% | -34.2% | 0.02 | -0.01 | 0.9x | 53 | 9% |
| Buy and hold | 10.9% | -71.7% | 0.47 | 0.15 | 22.3x | 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 17-day average price crosses above the 99-day average
- Sell — Sell (to cash) when the 17-day average falls below the 99-day average