Trend-Following Backtester · Guide · backtest 한국어
equity · US
RUM Group Inc. backtest
10 trend-following strategies were compared on the full daily history of RUM Group Inc.. 6 beat buy-and-hold CAGR; ADX / DI 방향성 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is ADX / DI 방향성 (CAGR 14.5%, MDD -44.1%).
Results by strategy
6 of 10 beat buy and hold (CAGR -9.3%, drawdown -79.8%).
Sharpe leader (same as main): ADX / DI 방향성 — CAGR 14.5%, MDD -44.1%, Sharpe 0.49, 31% exposure.
Return/drawdown alternative: ADX / DI 방향성 — CAGR is 23.8%p higher than buy and hold, while drawdown improves by 35.7%p (CAGR 14.5%, MDD -44.1%, exposure 31%).
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 |
|---|---|---|---|---|---|---|---|
| ADX / DI 방향성 period=20, threshold=19 |
14.5% | -44.1% | 0.49 | 0.33 | 2.0x | 30 | 31% |
| Donchian 채널 돌파 entryN=60, exitN=20 |
2.4% | -62.5% | 0.30 | 0.04 | 1.1x | 12 | 24% |
| Keltner 채널 돌파 emaPeriod=41, atrPeriod=8, mult=2.8 |
2.0% | -51.6% | 0.27 | 0.04 | 1.1x | 14 | 14% |
| 볼린저 밴드 돌파 n=33, k=2.5 |
0.4% | -60.1% | 0.25 | 0.01 | 1.0x | 24 | 20% |
| SMA 크로스오버 fast=30, slow=88 |
-3.6% | -69.4% | 0.22 | -0.05 | 0.8x | 18 | 39% |
| Supertrend period=8, mult=2.9 |
-10.5% | -74.0% | 0.14 | -0.14 | 0.6x | 38 | 44% |
| MACD fast=10, slow=35, signal=9 |
-8.1% | -69.5% | 0.14 | -0.12 | 0.6x | 93 | 49% |
| EMA 크로스오버 fast=16, slow=21 |
-9.7% | -77.8% | 0.13 | -0.12 | 0.6x | 40 | 41% |
| ROC 모멘텀 n=45, threshold=0 |
-10.9% | -69.5% | 0.12 | -0.16 | 0.5x | 78 | 38% |
| Parabolic SAR step=0.03, maxStep=0.14 |
-17.6% | -84.9% | -0.09 | -0.21 | 0.4x | 135 | 42% |
| Buy and hold | -9.3% | -79.8% | 0.27 | -0.12 | 0.6x | 1 | 100% |
Rules of the top strategy
Looks at both the direction and the strength of the trend; holds only in a strong uptrend.
- Buy — Buy when up-direction (+DI) beats down-direction (−DI) and trend strength (ADX, 20-day) is ≥ 19
- Sell — Sell when direction flips or the trend weakens (ADX < 19)