Trend-Following Backtester · Guide · backtest 한국어
equity · US
Rackspace Technology, Inc. backtest
10 trend-following strategies were compared on the full daily history of Rackspace Technology, Inc.. 10 beat buy-and-hold CAGR; SMA 크로스오버 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is 볼린저 밴드 돌파 (CAGR 6.3%, MDD -19.6%).
Results by strategy
10 of 10 beat buy and hold (CAGR -20.6%, drawdown -98.4%).
Sharpe leader (same as main): SMA 크로스오버 — CAGR 25.0%, MDD -49.8%, Sharpe 0.64, 21% exposure.
Return/drawdown alternative: 볼린저 밴드 돌파 — CAGR is 45.7%p higher than buy and hold, while drawdown improves by 48.6%p (CAGR 6.3%, MDD -19.6%, exposure 1%).
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 |
|---|---|---|---|---|---|---|---|
| SMA 크로스오버 fast=50, slow=204 |
25.0% | -49.8% | 0.64 | 0.50 | 3.8x | 5 | 21% |
| ADX / DI 방향성 period=28, threshold=28 |
17.5% | -64.1% | 0.53 | 0.27 | 2.6x | 4 | 8% |
| MACD fast=13, slow=26, signal=5 |
11.6% | -89.5% | 0.47 | 0.13 | 1.9x | 138 | 50% |
| Keltner 채널 돌파 emaPeriod=26, atrPeriod=15, mult=4 |
14.0% | -45.1% | 0.46 | 0.31 | 2.2x | 6 | 5% |
| EMA 크로스오버 fast=46, slow=152 |
6.0% | -74.2% | 0.38 | 0.08 | 1.4x | 5 | 25% |
| ROC 모멘텀 n=100, threshold=-0.03 |
1.5% | -74.9% | 0.36 | 0.02 | 1.1x | 53 | 38% |
| Donchian 채널 돌파 entryN=37, exitN=44 |
-4.6% | -88.3% | 0.32 | -0.05 | 0.8x | 15 | 45% |
| Parabolic SAR step=0.025, maxStep=0.34 |
-2.7% | -90.2% | 0.32 | -0.03 | 0.9x | 142 | 45% |
| 볼린저 밴드 돌파 n=11, k=3.1 |
6.3% | -19.6% | 0.31 | 0.32 | 1.4x | 2 | 1% |
| Supertrend period=5, mult=4.8 |
-11.5% | -93.7% | 0.25 | -0.12 | 0.5x | 17 | 53% |
| Buy and hold | -20.6% | -98.4% | 0.31 | -0.21 | 0.3x | 1 | 100% |
Rules of the top strategy
When the short average rises above the long average, it reads that as an uptrend starting.
- Buy — Buy when the 50-day average price crosses above the 204-day average
- Sell — Sell (to cash) when the 50-day average falls below the 204-day average