Trend-Following Backtester · Guide · backtest 한국어
equity · US
Rocket Lab Corporation backtest
10 trend-following strategies were compared on the full daily history of Rocket Lab Corporation. 10 beat buy-and-hold CAGR; Supertrend ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is Keltner 채널 돌파 (CAGR 45.9%, MDD -47.8%).
Results by strategy
10 of 10 beat buy and hold (CAGR 38.5%, drawdown -83.0%).
Sharpe leader (same as main): Supertrend — CAGR 70.6%, MDD -49.8%, Sharpe 1.17, 47% exposure.
Return/drawdown alternative: Keltner 채널 돌파 — CAGR is 32.2%p higher than buy and hold, while drawdown improves by 33.2%p (CAGR 45.9%, MDD -47.8%, exposure 35%).
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=11, mult=2.5 |
70.6% | -49.8% | 1.17 | 1.42 | 21.8x | 42 | 47% |
| ADX / DI 방향성 period=21, threshold=5 |
68.4% | -50.2% | 1.10 | 1.36 | 20.2x | 62 | 59% |
| Parabolic SAR step=0.005, maxStep=0.14 |
60.1% | -64.2% | 1.07 | 0.94 | 15.1x | 48 | 49% |
| MACD fast=18, slow=59, signal=19 |
58.7% | -68.3% | 1.07 | 0.86 | 14.4x | 44 | 51% |
| 볼린저 밴드 돌파 n=40, k=1 |
51.3% | -49.4% | 0.99 | 1.04 | 10.9x | 46 | 45% |
| SMA 크로스오버 fast=11, slow=182 |
51.1% | -56.5% | 0.96 | 0.90 | 10.8x | 10 | 50% |
| Keltner 채널 돌파 emaPeriod=49, atrPeriod=19, mult=2.5 |
45.9% | -47.8% | 0.95 | 0.96 | 8.8x | 24 | 35% |
| EMA 크로스오버 fast=8, slow=191 |
46.9% | -61.0% | 0.92 | 0.77 | 9.2x | 14 | 48% |
| Donchian 채널 돌파 entryN=119, exitN=68 |
45.2% | -59.4% | 0.90 | 0.76 | 8.6x | 6 | 45% |
| ROC 모멘텀 n=22, threshold=-0.07 |
46.3% | -68.6% | 0.89 | 0.67 | 9.0x | 105 | 65% |
| Buy and hold | 38.5% | -83.0% | 0.80 | 0.46 | 6.5x | 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) — 11-day volatility, 2.5× band
- Sell — Sell when price drops below the trend line (flips down)