Trend-Following Backtester · Guide · backtest 한국어
equity · US
RadNet, Inc. backtest
10 trend-following strategies were compared on the full daily history of RadNet, Inc.. 2 beat buy-and-hold CAGR; Donchian 채널 돌파 ranks first by Sharpe, matching the main backtester.
Results by strategy
2 of 10 beat buy and hold (CAGR 16.9%, drawdown -92.1%).
Sharpe leader (same as main): Donchian 채널 돌파 — CAGR 17.9%, MDD -79.9%, Sharpe 0.56, 56% exposure.
No strategy retained at least 75% of buy-and-hold CAGR while reducing drawdown by both 20% relatively and 5 percentage points absolutely.
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=63, exitN=66 |
17.9% | -79.9% | 0.56 | 0.22 | 131.3x | 47 | 56% |
| SMA 크로스오버 fast=33, slow=141 |
17.3% | -73.9% | 0.56 | 0.23 | 113.8x | 53 | 54% |
| EMA 크로스오버 fast=11, slow=82 |
15.2% | -74.3% | 0.52 | 0.20 | 66.0x | 133 | 54% |
| 볼린저 밴드 돌파 n=27, k=2.1 |
13.8% | -83.1% | 0.49 | 0.17 | 46.5x | 195 | 30% |
| ROC 모멘텀 n=136, threshold=0.01 |
12.6% | -82.2% | 0.48 | 0.15 | 34.0x | 189 | 54% |
| Supertrend period=18, mult=5 |
8.6% | -94.3% | 0.41 | 0.09 | 11.5x | 87 | 49% |
| ADX / DI 방향성 period=23, threshold=37 |
6.9% | -39.9% | 0.35 | 0.17 | 7.3x | 26 | 4% |
| Keltner 채널 돌파 emaPeriod=31, atrPeriod=26, mult=2.1 |
6.6% | -80.5% | 0.35 | 0.08 | 6.6x | 167 | 28% |
| Parabolic SAR step=0.025, maxStep=0.16 |
0.1% | -92.5% | 0.28 | 0.00 | 1.0x | 664 | 50% |
| MACD fast=15, slow=34, signal=8 |
-5.5% | -99.4% | 0.19 | -0.06 | 0.2x | 544 | 50% |
| Buy and hold | 16.9% | -92.1% | 0.59 | 0.18 | 102.0x | 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 63 days
- Sell — Sell when price breaks below the lowest low of the last 66 days