Trend-Following Backtester · Guide · backtest 한국어
equity · KR
레인보우로보틱스 backtest
10 trend-following strategies were compared on the full daily history of 레인보우로보틱스. 2 beat buy-and-hold CAGR; Parabolic SAR ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is Parabolic SAR (CAGR 67.5%, MDD -42.1%).
Results by strategy
2 of 10 beat buy and hold (CAGR 66.8%, drawdown -57.6%).
Sharpe leader (same as main): Parabolic SAR — CAGR 67.5%, MDD -42.1%, Sharpe 1.20, 49% exposure.
CAGR reference leader: Donchian 채널 돌파 — CAGR 74.5%, MDD -44.1%, exposure 75%.
Return/drawdown alternative: Parabolic SAR — CAGR is 0.7%p higher than buy and hold, while drawdown improves by 15.5%p (CAGR 67.5%, MDD -42.1%, exposure 49%).
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 |
|---|---|---|---|---|---|---|---|
| Parabolic SAR step=0.055, maxStep=0.22 |
67.5% | -42.1% | 1.20 | 1.60 | 16.9x | 176 | 49% |
| Donchian 채널 돌파 entryN=48, exitN=97 |
74.5% | -44.1% | 1.19 | 1.69 | 21.2x | 4 | 75% |
| ROC 모멘텀 n=88, threshold=-0.02 |
65.7% | -42.4% | 1.14 | 1.55 | 16.0x | 46 | 64% |
| SMA 크로스오버 fast=34, slow=105 |
61.0% | -45.5% | 1.09 | 1.34 | 13.6x | 10 | 60% |
| EMA 크로스오버 fast=9, slow=152 |
61.8% | -42.8% | 1.08 | 1.44 | 14.0x | 14 | 70% |
| Supertrend period=25, mult=2.6 |
48.9% | -48.5% | 1.05 | 1.01 | 8.9x | 40 | 41% |
| 볼린저 밴드 돌파 n=46, k=2.5 |
47.5% | -47.9% | 1.04 | 0.99 | 8.4x | 18 | 27% |
| ADX / DI 방향성 period=17, threshold=7 |
47.0% | -59.2% | 0.93 | 0.79 | 8.3x | 98 | 69% |
| MACD fast=8, slow=27, signal=13 |
34.9% | -41.4% | 0.85 | 0.84 | 5.2x | 97 | 48% |
| Keltner 채널 돌파 emaPeriod=45, atrPeriod=21, mult=2.5 |
30.8% | -55.2% | 0.79 | 0.56 | 4.4x | 24 | 28% |
| Buy and hold | 66.8% | -57.6% | 1.07 | 1.16 | 16.6x | 1 | 100% |
Rules of the top strategy
Trades around the Parabolic SAR dots that accelerate toward price.
- Buy — Buy when price rises above the SAR dots
- Sell — Sell when price falls below the SAR dots