Trend-Following Backtester · Guide · backtest 한국어
equity · US
Rigetti Computing, Inc. backtest
10 trend-following strategies were compared on the full daily history of Rigetti Computing, Inc.. 10 beat buy-and-hold CAGR; Supertrend ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is ADX / DI 방향성 (CAGR 53.0%, MDD -54.1%).
Results by strategy
10 of 10 beat buy and hold (CAGR 8.8%, drawdown -96.9%).
Sharpe leader (same as main): Supertrend — CAGR 87.7%, MDD -72.3%, Sharpe 1.11, 38% exposure.
CAGR reference leader: ROC 모멘텀 — CAGR 89.5%, MDD -69.7%, exposure 44%.
Return/drawdown alternative: ADX / DI 방향성 — CAGR is 78.9%p higher than buy and hold, while drawdown improves by 24.6%p (CAGR 53.0%, MDD -54.1%, exposure 18%).
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=2.8 |
87.7% | -72.3% | 1.11 | 1.21 | 29.2x | 33 | 38% |
| ROC 모멘텀 n=53, threshold=-0.03 |
89.5% | -69.7% | 1.11 | 1.28 | 30.7x | 38 | 44% |
| Keltner 채널 돌파 emaPeriod=31, atrPeriod=13, mult=1.5 |
75.9% | -58.3% | 1.06 | 1.30 | 20.6x | 32 | 23% |
| 볼린저 밴드 돌파 n=57, k=1.1 |
78.5% | -69.7% | 1.05 | 1.13 | 22.3x | 26 | 33% |
| EMA 크로스오버 fast=14, slow=42 |
73.4% | -69.7% | 1.02 | 1.05 | 19.1x | 22 | 37% |
| Donchian 채널 돌파 entryN=18, exitN=41 |
59.9% | -81.1% | 0.94 | 0.74 | 12.4x | 21 | 51% |
| MACD fast=17, slow=44, signal=24 |
56.8% | -89.0% | 0.93 | 0.64 | 11.1x | 39 | 55% |
| ADX / DI 방향성 period=12, threshold=37 |
53.0% | -54.1% | 0.91 | 0.98 | 9.8x | 22 | 18% |
| Parabolic SAR step=0.005, maxStep=0.34 |
52.7% | -77.6% | 0.89 | 0.68 | 9.7x | 45 | 37% |
| SMA 크로스오버 fast=16, slow=178 |
48.8% | -78.1% | 0.86 | 0.62 | 8.4x | 8 | 34% |
| Buy and hold | 8.8% | -96.9% | 0.67 | 0.09 | 1.6x | 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, 2.8× band
- Sell — Sell when price drops below the trend line (flips down)