Trend-Following Backtester · Guide · backtest 한국어
equity · US
Rush Enterprises, Inc. backtest
10 trend-following strategies were compared on the full daily history of Rush Enterprises, Inc.. 0 beat buy-and-hold CAGR; EMA 크로스오버 ranks first by Sharpe, matching the main backtester.
Results by strategy
0 of 10 beat buy and hold (CAGR 17.3%, drawdown -71.9%).
Sharpe leader (same as main): EMA 크로스오버 — CAGR 9.6%, MDD -59.6%, Sharpe 0.46, 73% 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 |
|---|---|---|---|---|---|---|---|
| EMA 크로스오버 fast=56, slow=245 |
9.6% | -59.6% | 0.46 | 0.16 | 8.1x | 29 | 73% |
| SMA 크로스오버 fast=42, slow=94 |
8.4% | -50.0% | 0.43 | 0.17 | 6.3x | 65 | 60% |
| Donchian 채널 돌파 entryN=22, exitN=68 |
8.1% | -73.4% | 0.40 | 0.11 | 5.9x | 59 | 77% |
| Supertrend period=14, mult=5 |
6.8% | -59.5% | 0.38 | 0.11 | 4.5x | 57 | 58% |
| ROC 모멘텀 n=75, threshold=-0.01 |
5.1% | -57.1% | 0.32 | 0.09 | 3.1x | 243 | 63% |
| 볼린저 밴드 돌파 n=71, k=1 |
3.5% | -61.3% | 0.26 | 0.06 | 2.2x | 131 | 51% |
| Keltner 채널 돌파 emaPeriod=57, atrPeriod=19, mult=2 |
1.7% | -53.4% | 0.18 | 0.03 | 1.5x | 122 | 41% |
| Parabolic SAR step=0.015, maxStep=0.1 |
1.2% | -71.6% | 0.18 | 0.02 | 1.3x | 412 | 54% |
| ADX / DI 방향성 period=37, threshold=29 |
0.5% | -12.0% | 0.14 | 0.04 | 1.1x | 2 | 1% |
| MACD fast=25, slow=45, signal=21 |
-0.5% | -68.3% | 0.11 | -0.01 | 0.9x | 238 | 50% |
| Buy and hold | 17.3% | -71.9% | 0.61 | 0.24 | 38.5x | 1 | 100% |
Rules of the top strategy
Uses two exponential averages (more weight on recent prices) and trades their crossover.
- Buy — Buy when the 56-day EMA crosses above the 245-day EMA
- Sell — Sell when the 56-day EMA falls below the 245-day EMA