Trend-Following Backtester · Guide · backtest 한국어
equity · FR
Riber SA backtest
10 trend-following strategies were compared on the full daily history of Riber SA. 10 beat buy-and-hold CAGR; SMA 크로스오버 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is Donchian 채널 돌파 (CAGR 12.1%, MDD -51.9%).
Results by strategy
10 of 10 beat buy and hold (CAGR -1.1%, drawdown -98.6%).
Sharpe leader (same as main): SMA 크로스오버 — CAGR 16.2%, MDD -75.6%, Sharpe 0.58, 47% exposure.
Return/drawdown alternative: Donchian 채널 돌파 — CAGR is 17.3%p higher than buy and hold, while drawdown improves by 23.0%p (CAGR 12.1%, MDD -51.9%, exposure 31%).
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=15, slow=69 |
16.2% | -75.6% | 0.58 | 0.21 | 51.2x | 100 | 47% |
| 볼린저 밴드 돌파 n=59, k=1.4 |
15.3% | -56.5% | 0.57 | 0.27 | 41.2x | 106 | 36% |
| Keltner 채널 돌파 emaPeriod=79, atrPeriod=27, mult=3.9 |
13.0% | -55.9% | 0.56 | 0.23 | 24.3x | 38 | 24% |
| EMA 크로스오버 fast=29, slow=30 |
14.7% | -67.0% | 0.54 | 0.22 | 36.2x | 110 | 47% |
| Donchian 채널 돌파 entryN=108, exitN=34 |
12.1% | -51.9% | 0.53 | 0.23 | 20.0x | 34 | 31% |
| Supertrend period=12, mult=3.7 |
13.0% | -76.4% | 0.49 | 0.17 | 24.6x | 98 | 54% |
| MACD fast=32, slow=43, signal=51 |
12.1% | -72.7% | 0.47 | 0.17 | 19.8x | 138 | 49% |
| ADX / DI 방향성 period=17, threshold=13 |
9.9% | -76.3% | 0.43 | 0.13 | 11.7x | 362 | 40% |
| ROC 모멘텀 n=42, threshold=0.07 |
8.6% | -79.9% | 0.40 | 0.11 | 8.6x | 352 | 32% |
| Parabolic SAR step=0.015, maxStep=0.22 |
4.5% | -88.9% | 0.30 | 0.05 | 3.2x | 346 | 44% |
| Buy and hold | -1.1% | -98.6% | 0.25 | -0.01 | 0.7x | 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 15-day average price crosses above the 69-day average
- Sell — Sell (to cash) when the 15-day average falls below the 69-day average