Trend-Following Backtester · Guide · backtest 한국어
equity · US
Rambus, Inc. backtest
10 trend-following strategies were compared on the full daily history of Rambus, Inc.. 1 beat buy-and-hold CAGR; Supertrend ranks first by Sharpe, matching the main backtester.
Results by strategy
1 of 10 beat buy and hold (CAGR 8.9%, drawdown -97.2%).
Sharpe leader (same as main): Supertrend — CAGR 11.1%, MDD -81.5%, Sharpe 0.47, 57% 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 |
|---|---|---|---|---|---|---|---|
| Supertrend period=14, mult=4.8 |
11.1% | -81.5% | 0.47 | 0.14 | 21.4x | 94 | 57% |
| SMA 크로스오버 fast=50, slow=192 |
8.6% | -82.3% | 0.40 | 0.11 | 11.3x | 45 | 55% |
| 볼린저 밴드 돌파 n=40, k=1.7 |
8.0% | -84.3% | 0.40 | 0.10 | 9.6x | 174 | 37% |
| MACD fast=9, slow=14, signal=9 |
7.0% | -89.5% | 0.38 | 0.08 | 7.1x | 692 | 50% |
| EMA 크로스오버 fast=25, slow=117 |
5.9% | -91.7% | 0.36 | 0.06 | 5.3x | 74 | 54% |
| Parabolic SAR step=0.02, maxStep=0.2 |
6.4% | -88.5% | 0.36 | 0.07 | 6.1x | 572 | 49% |
| Donchian 채널 돌파 entryN=28, exitN=60 |
4.3% | -91.7% | 0.35 | 0.05 | 3.4x | 82 | 69% |
| ROC 모멘텀 n=87, threshold=0 |
2.2% | -91.5% | 0.29 | 0.02 | 1.9x | 284 | 55% |
| Keltner 채널 돌파 emaPeriod=12, atrPeriod=18, mult=1.6 |
4.2% | -80.3% | 0.29 | 0.05 | 3.3x | 266 | 22% |
| ADX / DI 방향성 period=24, threshold=7 |
0.7% | -87.6% | 0.25 | 0.01 | 1.2x | 466 | 54% |
| Buy and hold | 8.9% | -97.2% | 0.47 | 0.09 | 12.0x | 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) — 14-day volatility, 4.8× band
- Sell — Sell when price drops below the trend line (flips down)