Trend-Following Backtester · Guide · backtest 한국어
equity · GB
RHI Magnesita NV backtest
10 trend-following strategies were compared on the full daily history of RHI Magnesita NV. 10 beat buy-and-hold CAGR; Supertrend ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is Keltner 채널 돌파 (CAGR 3.5%, MDD -24.8%).
Results by strategy
10 of 10 beat buy and hold (CAGR -1.9%, drawdown -73.3%).
Sharpe leader (same as main): Supertrend — CAGR 6.2%, MDD -34.9%, Sharpe 0.38, 51% exposure.
Return/drawdown alternative: Keltner 채널 돌파 — CAGR is 8.1%p higher than buy and hold, while drawdown improves by 38.3%p (CAGR 3.5%, MDD -24.8%, exposure 25%).
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 |
|---|---|---|---|---|---|---|---|
| Supertrend period=23, mult=4.7 |
6.2% | -34.9% | 0.38 | 0.18 | 1.7x | 25 | 51% |
| Donchian 채널 돌파 entryN=49, exitN=34 |
5.9% | -33.9% | 0.37 | 0.17 | 1.7x | 21 | 48% |
| 볼린저 밴드 돌파 n=55, k=1.9 |
4.1% | -33.9% | 0.31 | 0.12 | 1.4x | 32 | 32% |
| Keltner 채널 돌파 emaPeriod=44, atrPeriod=17, mult=2.7 |
3.5% | -24.8% | 0.29 | 0.14 | 1.3x | 26 | 25% |
| ROC 모멘텀 n=44, threshold=0.12 |
3.5% | -27.7% | 0.29 | 0.13 | 1.4x | 102 | 25% |
| ADX / DI 방향성 period=38, threshold=15 |
3.2% | -33.2% | 0.28 | 0.10 | 1.3x | 38 | 24% |
| SMA 크로스오버 fast=42, slow=190 |
4.1% | -42.0% | 0.28 | 0.10 | 1.4x | 11 | 47% |
| MACD fast=15, slow=26, signal=24 |
2.2% | -57.7% | 0.21 | 0.04 | 1.2x | 94 | 48% |
| EMA 크로스오버 fast=29, slow=36 |
2.1% | -38.8% | 0.21 | 0.05 | 1.2x | 37 | 50% |
| Parabolic SAR step=0.015, maxStep=0.14 |
-0.3% | -51.3% | 0.11 | -0.01 | 1.0x | 164 | 52% |
| Buy and hold | -1.9% | -73.3% | 0.13 | -0.03 | 0.8x | 1 | 100% |
Rules of the top strategy
Trades the direction of a volatility-based trend line that trails below/above price.
- Buy — Buy when price moves above the trend line (flips up) — 23-day volatility, 4.7× band
- Sell — Sell when price drops below the trend line (flips down)