Trend-Following Backtester · Guide · backtest 한국어
equity · US
Ryder System, Inc. backtest
10 trend-following strategies were compared on the full daily history of Ryder System, Inc.. 0 beat buy-and-hold CAGR; Donchian 채널 돌파 ranks first by Sharpe, matching the main backtester.
Results by strategy
0 of 10 beat buy and hold (CAGR 7.7%, drawdown -77.0%).
Sharpe leader (same as main): Donchian 채널 돌파 — CAGR 6.4%, MDD -83.6%, Sharpe 0.36, 78% 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 |
|---|---|---|---|---|---|---|---|
| Donchian 채널 돌파 entryN=20, exitN=71 |
6.4% | -83.6% | 0.36 | 0.08 | 17.7x | 127 | 78% |
| SMA 크로스오버 fast=28, slow=77 |
5.8% | -73.5% | 0.36 | 0.08 | 13.6x | 171 | 58% |
| ROC 모멘텀 Hold-like · Exposure 97% n=9, threshold=-0.11 |
5.9% | -74.4% | 0.34 | 0.08 | 14.4x | 235 | 97% |
| EMA 크로스오버 fast=59, slow=128 |
4.0% | -65.9% | 0.29 | 0.06 | 6.3x | 83 | 62% |
| Supertrend period=21, mult=3.9 |
2.9% | -81.0% | 0.24 | 0.04 | 3.8x | 247 | 59% |
| 볼린저 밴드 돌파 n=59, k=2.9 |
1.6% | -28.0% | 0.20 | 0.06 | 2.1x | 66 | 15% |
| ADX / DI 방향성 period=29, threshold=35 |
0.4% | -8.5% | 0.17 | 0.04 | 1.2x | 4 | 0% |
| MACD fast=22, slow=47, signal=24 |
-1.0% | -90.4% | 0.07 | -0.01 | 0.6x | 442 | 51% |
| Keltner 채널 돌파 emaPeriod=56, atrPeriod=18, mult=3.4 |
-0.5% | -72.3% | 0.04 | -0.01 | 0.8x | 167 | 30% |
| Parabolic SAR step=0.005, maxStep=0.32 |
-2.9% | -90.5% | -0.01 | -0.03 | 0.3x | 422 | 54% |
| Buy and hold | 7.7% | -77.0% | 0.39 | 0.10 | 31.6x | 1 | 100% |
Rules of the top strategy
A new high means a trend starting; a new low means it’s over (turtle-trading style).
- Buy — Buy on a breakout above the highest high of the last 20 days
- Sell — Sell when price breaks below the lowest low of the last 71 days