Trend-Following Backtester · Guide · backtest 한국어
equity · US
Robinhood Markets, Inc. backtest
10 trend-following strategies were compared on the full daily history of Robinhood Markets, Inc.. 6 beat buy-and-hold CAGR; EMA 크로스오버 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is Keltner 채널 돌파 (CAGR 32.1%, MDD -45.9%).
Results by strategy
6 of 10 beat buy and hold (CAGR 24.1%, drawdown -90.2%).
Sharpe leader (same as main): EMA 크로스오버 — CAGR 51.4%, MDD -47.7%, Sharpe 1.13, 50% exposure.
Return/drawdown alternative: Keltner 채널 돌파 — CAGR is 27.4%p higher than buy and hold, while drawdown improves by 42.6%p (CAGR 32.1%, MDD -45.9%, exposure 43%).
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 |
|---|---|---|---|---|---|---|---|
| EMA 크로스오버 fast=37, slow=116 |
51.4% | -47.7% | 1.13 | 1.08 | 8.3x | 5 | 50% |
| SMA 크로스오버 fast=24, slow=138 |
49.6% | -47.7% | 1.07 | 1.04 | 7.8x | 11 | 55% |
| ROC 모멘텀 n=154, threshold=0.03 |
46.7% | -47.7% | 1.06 | 0.98 | 7.0x | 22 | 51% |
| Donchian 채널 돌파 entryN=51, exitN=76 |
46.4% | -49.0% | 0.98 | 0.95 | 7.0x | 7 | 71% |
| 볼린저 밴드 돌파 n=18, k=1.8 |
34.3% | -53.9% | 0.94 | 0.64 | 4.5x | 47 | 36% |
| Keltner 채널 돌파 emaPeriod=59, atrPeriod=16, mult=1.1 |
32.1% | -45.9% | 0.88 | 0.70 | 4.1x | 33 | 43% |
| Supertrend period=11, mult=3.2 |
22.2% | -61.5% | 0.67 | 0.36 | 2.8x | 31 | 56% |
| ADX / DI 방향성 period=37, threshold=13 |
21.2% | -57.9% | 0.67 | 0.37 | 2.7x | 36 | 42% |
| Parabolic SAR step=0.03, maxStep=0.14 |
22.5% | -64.1% | 0.64 | 0.35 | 2.8x | 119 | 51% |
| MACD fast=12, slow=55, signal=16 |
18.7% | -74.6% | 0.60 | 0.25 | 2.4x | 49 | 50% |
| Buy and hold | 24.1% | -90.2% | 0.65 | 0.27 | 3.0x | 1 | 100% |
Rules of the top strategy
Uses two exponential averages (more weight on recent prices) and trades their crossover.
- Buy — Buy when the 37-day EMA crosses above the 116-day EMA
- Sell — Sell when the 37-day EMA falls below the 116-day EMA