Trend-Following Backtester · Guide · backtest 한국어
equity · KR
로보티즈 backtest
10 trend-following strategies were compared on the full daily history of 로보티즈. 5 beat buy-and-hold CAGR; Supertrend ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is Supertrend (CAGR 46.5%, MDD -38.4%).
Results by strategy
5 of 10 beat buy and hold (CAGR 33.3%, drawdown -73.6%).
Sharpe leader (same as main): Supertrend — CAGR 46.5%, MDD -38.4%, Sharpe 0.97, 47% exposure.
Return/drawdown alternative: Supertrend — CAGR is 13.1%p higher than buy and hold, while drawdown improves by 35.1%p (CAGR 46.5%, 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 |
46.5% | -38.4% | 0.97 | 1.21 | 19.3x | 114 | 47% |
| EMA 크로스오버 fast=20, slow=38 |
41.0% | -46.0% | 0.87 | 0.89 | 14.4x | 26 | 49% |
| SMA 크로스오버 fast=9, slow=67 |
38.7% | -57.4% | 0.84 | 0.67 | 12.7x | 36 | 49% |
| Donchian 채널 돌파 entryN=14, exitN=78 |
38.5% | -57.4% | 0.82 | 0.67 | 12.5x | 20 | 76% |
| 볼린저 밴드 돌파 n=73, k=0.6 |
34.7% | -45.5% | 0.80 | 0.76 | 10.1x | 38 | 43% |
| Parabolic SAR step=0.025, maxStep=0.2 |
28.8% | -65.7% | 0.73 | 0.44 | 7.1x | 170 | 49% |
| ROC 모멘텀 n=111, threshold=-0.02 |
29.3% | -55.2% | 0.73 | 0.53 | 7.3x | 62 | 54% |
| ADX / DI 방향성 period=15, threshold=14 |
28.7% | -68.8% | 0.72 | 0.42 | 7.1x | 102 | 57% |
| Keltner 채널 돌파 emaPeriod=60, atrPeriod=12, mult=3.1 |
21.1% | -43.2% | 0.63 | 0.49 | 4.4x | 20 | 26% |
| MACD fast=12, slow=48, signal=13 |
16.5% | -63.9% | 0.54 | 0.26 | 3.3x | 110 | 49% |
| Buy and hold | 33.3% | -73.6% | 0.76 | 0.45 | 9.3x | 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)