Trend-Following Backtester · Guide · backtest 한국어
equity · KR
RFHIC backtest
10 trend-following strategies were compared on the full daily history of RFHIC. 4 beat buy-and-hold CAGR; Supertrend ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is ADX / DI 방향성 (CAGR 13.7%, MDD -36.0%).
Results by strategy
4 of 10 beat buy and hold (CAGR 14.5%, drawdown -77.5%).
Sharpe leader (same as main): Supertrend — CAGR 20.8%, MDD -56.0%, Sharpe 0.69, 46% exposure.
Return/drawdown alternative: ADX / DI 방향성 — CAGR is 6.3%p higher than buy and hold, while drawdown improves by 21.6%p (CAGR 13.7%, MDD -36.0%, exposure 19%).
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=12, mult=1.8 |
20.8% | -56.0% | 0.69 | 0.37 | 8.2x | 115 | 46% |
| EMA 크로스오버 fast=102, slow=212 |
19.7% | -68.6% | 0.64 | 0.29 | 7.5x | 5 | 48% |
| Parabolic SAR step=0.03, maxStep=0.1 |
16.3% | -45.7% | 0.60 | 0.36 | 5.4x | 208 | 49% |
| ADX / DI 방향성 period=35, threshold=25 |
13.7% | -36.0% | 0.58 | 0.38 | 4.2x | 18 | 19% |
| SMA 크로스오버 fast=55, slow=141 |
14.6% | -68.6% | 0.53 | 0.21 | 4.6x | 20 | 50% |
| ROC 모멘텀 n=178, threshold=0.02 |
13.5% | -68.6% | 0.51 | 0.20 | 4.1x | 75 | 45% |
| Keltner 채널 돌파 emaPeriod=12, atrPeriod=23, mult=2.6 |
9.3% | -32.7% | 0.50 | 0.29 | 2.7x | 24 | 8% |
| 볼린저 밴드 돌파 n=21, k=3.5 |
6.1% | -19.4% | 0.47 | 0.32 | 1.9x | 10 | 5% |
| MACD fast=15, slow=45, signal=14 |
7.2% | -64.1% | 0.37 | 0.11 | 2.2x | 129 | 52% |
| Donchian 채널 돌파 entryN=84, exitN=31 |
4.7% | -69.4% | 0.30 | 0.07 | 1.7x | 22 | 26% |
| Buy and hold | 14.5% | -77.5% | 0.52 | 0.19 | 4.5x | 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) — 12-day volatility, 1.8× band
- Sell — Sell when price drops below the trend line (flips down)