Trend-Following Backtester · Guide · backtest 한국어
equity · US
Radian Group Inc. backtest
10 trend-following strategies were compared on the full daily history of Radian Group Inc.. 3 beat buy-and-hold CAGR; SMA 크로스오버 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is 볼린저 밴드 돌파 (CAGR 7.2%, MDD -56.1%).
Results by strategy
3 of 10 beat buy and hold (CAGR 6.4%, drawdown -98.8%).
Sharpe leader (same as main): SMA 크로스오버 — CAGR 8.3%, MDD -74.7%, Sharpe 0.40, 60% exposure.
Return/drawdown alternative: 볼린저 밴드 돌파 — CAGR is 1.9%p higher than buy and hold, while drawdown improves by 24.2%p (CAGR 7.2%, MDD -56.1%, exposure 43%).
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=51, slow=202 |
8.3% | -74.7% | 0.40 | 0.11 | 14.9x | 49 | 60% |
| 볼린저 밴드 돌파 n=41, k=1.2 |
7.2% | -56.1% | 0.36 | 0.13 | 10.5x | 265 | 43% |
| Supertrend period=21, mult=5 |
7.2% | -81.2% | 0.36 | 0.09 | 10.5x | 131 | 54% |
| EMA 크로스오버 fast=20, slow=174 |
6.3% | -79.3% | 0.36 | 0.08 | 7.8x | 83 | 63% |
| Donchian 채널 돌파 entryN=28, exitN=66 |
5.9% | -93.5% | 0.34 | 0.06 | 7.0x | 81 | 75% |
| ADX / DI 방향성 period=10, threshold=9 |
5.0% | -85.0% | 0.31 | 0.06 | 5.3x | 849 | 54% |
| MACD fast=21, slow=38, signal=13 |
4.1% | -86.5% | 0.29 | 0.05 | 3.9x | 423 | 50% |
| Keltner 채널 돌파 emaPeriod=49, atrPeriod=22, mult=1.1 |
3.7% | -68.6% | 0.26 | 0.05 | 3.4x | 319 | 48% |
| Parabolic SAR step=0.02, maxStep=0.12 |
2.6% | -88.4% | 0.26 | 0.03 | 2.3x | 678 | 54% |
| ROC 모멘텀 n=62, threshold=0.03 |
2.6% | -82.6% | 0.24 | 0.03 | 2.4x | 441 | 50% |
| Buy and hold | 6.4% | -98.8% | 0.40 | 0.06 | 8.2x | 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 51-day average price crosses above the 202-day average
- Sell — Sell (to cash) when the 51-day average falls below the 202-day average