Trend-Following Backtester · Guide · backtest 한국어
equity · KR
로보티즈 backtest
10 trend-following strategies were compared on the full daily history of 로보티즈. 2 beat buy-and-hold CAGR; Supertrend ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is Supertrend (CAGR 48.3%, MDD -38.4%).
Results by strategy
2 of 10 beat buy and hold (CAGR 38.8%, drawdown -73.6%).
Sharpe leader (same as main): Supertrend — CAGR 48.3%, MDD -38.4%, Sharpe 0.99, 47% exposure.
Return/drawdown alternative: Supertrend — CAGR is 9.5%p higher than buy and hold, while drawdown improves by 35.1%p (CAGR 48.3%, MDD -38.4%, exposure 47%).
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=20, mult=1.5 |
48.3% | -38.4% | 0.99 | 1.26 | 22.0x | 116 | 47% |
| EMA 크로스오버 fast=20, slow=38 |
39.8% | -46.0% | 0.86 | 0.86 | 13.8x | 27 | 49% |
| SMA 크로스오버 fast=9, slow=67 |
38.4% | -57.4% | 0.84 | 0.67 | 12.8x | 37 | 49% |
| 볼린저 밴드 돌파 n=73, k=0.6 |
34.2% | -45.5% | 0.80 | 0.75 | 10.1x | 38 | 43% |
| Donchian 채널 돌파 entryN=14, exitN=78 |
36.4% | -58.9% | 0.80 | 0.62 | 11.4x | 21 | 76% |
| Parabolic SAR step=0.025, maxStep=0.2 |
29.8% | -66.3% | 0.75 | 0.45 | 7.7x | 172 | 49% |
| ADX / DI 방향성 period=15, threshold=14 |
29.8% | -68.8% | 0.73 | 0.43 | 7.8x | 105 | 57% |
| ROC 모멘텀 n=111, threshold=-0.02 |
26.9% | -55.2% | 0.69 | 0.49 | 6.5x | 66 | 54% |
| Keltner 채널 돌파 emaPeriod=60, atrPeriod=12, mult=3.1 |
20.8% | -43.2% | 0.63 | 0.48 | 4.4x | 20 | 26% |
| MACD fast=12, slow=48, signal=13 |
18.9% | -63.9% | 0.58 | 0.30 | 3.9x | 111 | 49% |
| Buy and hold | 38.8% | -73.6% | 0.81 | 0.53 | 13.1x | 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) — 20-day volatility, 1.5× band
- Sell — Sell when price drops below the trend line (flips down)