Trend-Following Backtester · Guide · backtest 한국어
equity · US
Red River Bancshares, Inc. backtest
10 trend-following strategies were compared on the full daily history of Red River Bancshares, Inc.. 0 beat buy-and-hold CAGR; MACD ranks first by Sharpe, matching the main backtester.
Results by strategy
0 of 10 beat buy and hold (CAGR 9.8%, drawdown -47.0%).
Sharpe leader (same as main): MACD — CAGR 6.8%, MDD -26.0%, Sharpe 0.41, 47% exposure.
CAGR reference leader: Donchian 채널 돌파 — CAGR 7.3%, MDD -49.6%, exposure 75%.
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 |
|---|---|---|---|---|---|---|---|
| MACD fast=16, slow=57, signal=25 |
6.8% | -26.0% | 0.41 | 0.26 | 1.6x | 64 | 47% |
| Donchian 채널 돌파 entryN=13, exitN=41 |
7.3% | -49.6% | 0.39 | 0.15 | 1.7x | 27 | 75% |
| SMA 크로스오버 fast=31, slow=67 |
4.3% | -47.8% | 0.30 | 0.09 | 1.4x | 25 | 55% |
| Supertrend period=18, mult=3.6 |
3.9% | -40.6% | 0.29 | 0.10 | 1.3x | 29 | 54% |
| ROC 모멘텀 n=149, threshold=0.23 |
2.8% | -36.7% | 0.28 | 0.08 | 1.2x | 41 | 19% |
| EMA 크로스오버 fast=48, slow=218 |
3.6% | -57.0% | 0.26 | 0.06 | 1.3x | 17 | 57% |
| Keltner 채널 돌파 emaPeriod=32, atrPeriod=18, mult=3 |
2.2% | -21.4% | 0.24 | 0.10 | 1.2x | 18 | 15% |
| 볼린저 밴드 돌파 n=26, k=3.4 |
1.4% | -11.9% | 0.23 | 0.12 | 1.1x | 8 | 6% |
| ADX / DI 방향성 period=28, threshold=28 |
0.2% | -6.0% | 0.07 | 0.04 | 1.0x | 2 | 3% |
| Parabolic SAR step=0.01, maxStep=0.38 |
-1.9% | -50.7% | 0.04 | -0.04 | 0.9x | 91 | 53% |
| Buy and hold | 9.8% | -47.0% | 0.43 | 0.21 | 2.0x | 1 | 100% |
Rules of the top strategy
Looks at the gap (MACD) between a short and long average crossing its own signal line.
- Buy — Buy when the MACD line (16/57) crosses above its 25-day signal line
- Sell — Sell when the MACD line crosses back below the signal line