Trend-Following Backtester · Guide · backtest 한국어
equity · KR
레인보우로보틱스 backtest
10 trend-following strategies were compared on the full daily history of 레인보우로보틱스. 1 beat buy-and-hold CAGR; Donchian 채널 돌파 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is Donchian 채널 돌파 (CAGR 73.0%, MDD -44.1%).
Results by strategy
1 of 10 beat buy and hold (CAGR 67.3%, drawdown -57.6%).
Sharpe leader (same as main): Donchian 채널 돌파 — CAGR 73.0%, MDD -44.1%, Sharpe 1.18, 74% exposure.
Return/drawdown alternative: Donchian 채널 돌파 — CAGR is 5.7%p higher than buy and hold, while drawdown improves by 13.5%p (CAGR 73.0%, MDD -44.1%, exposure 74%).
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 |
|---|---|---|---|---|---|---|---|
| Donchian 채널 돌파 entryN=48, exitN=97 |
73.0% | -44.1% | 1.18 | 1.66 | 21.2x | 4 | 74% |
| Parabolic SAR step=0.055, maxStep=0.22 |
63.6% | -45.8% | 1.16 | 1.39 | 15.5x | 178 | 49% |
| ROC 모멘텀 n=88, threshold=-0.02 |
64.4% | -42.4% | 1.13 | 1.52 | 16.0x | 46 | 63% |
| SMA 크로스오버 fast=34, slow=105 |
59.9% | -45.5% | 1.08 | 1.32 | 13.6x | 10 | 59% |
| EMA 크로스오버 fast=9, slow=152 |
60.7% | -42.8% | 1.07 | 1.42 | 14.0x | 14 | 69% |
| Supertrend period=25, mult=2.6 |
48.0% | -48.5% | 1.04 | 0.99 | 8.9x | 40 | 40% |
| 볼린저 밴드 돌파 n=46, k=2.5 |
46.6% | -47.9% | 1.03 | 0.97 | 8.4x | 18 | 27% |
| ADX / DI 방향성 period=17, threshold=7 |
42.8% | -59.2% | 0.88 | 0.72 | 7.3x | 102 | 68% |
| MACD fast=8, slow=27, signal=13 |
34.5% | -41.4% | 0.84 | 0.83 | 5.2x | 99 | 49% |
| Keltner 채널 돌파 emaPeriod=45, atrPeriod=21, mult=2.5 |
30.3% | -55.2% | 0.78 | 0.55 | 4.4x | 24 | 28% |
| Buy and hold | 67.3% | -57.6% | 1.08 | 1.17 | 17.6x | 1 | 100% |
Rules of the top strategy
A new high means a trend starting; a new low means it’s over (turtle-trading style).
- Buy — Buy on a breakout above the highest high of the last 48 days
- Sell — Sell when price breaks below the lowest low of the last 97 days