Trend-Following Backtester · Guide · backtest 한국어
equity · US
Redwire Corporation backtest
10 trend-following strategies were compared on the full daily history of Redwire Corporation. 10 beat buy-and-hold CAGR; Supertrend ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is Supertrend (CAGR 28.6%, MDD -53.0%).
Results by strategy
10 of 10 beat buy and hold (CAGR 0.4%, drawdown -87.3%).
Sharpe leader (same as main): Supertrend — CAGR 28.6%, MDD -53.0%, Sharpe 0.69, 42% exposure.
Return/drawdown alternative: Supertrend — CAGR is 28.2%p higher than buy and hold, while drawdown improves by 34.3%p (CAGR 28.6%, MDD -53.0%, exposure 42%).
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 |
|---|---|---|---|---|---|---|---|
| Supertrend period=20, mult=3.3 |
28.6% | -53.0% | 0.69 | 0.54 | 4.1x | 29 | 42% |
| Parabolic SAR step=0.03, maxStep=0.12 |
26.5% | -78.2% | 0.69 | 0.34 | 3.8x | 130 | 44% |
| 볼린저 밴드 돌파 n=48, k=1 |
21.1% | -66.1% | 0.60 | 0.32 | 2.9x | 36 | 34% |
| Donchian 채널 돌파 entryN=16, exitN=20 |
19.9% | -67.6% | 0.59 | 0.29 | 2.8x | 37 | 50% |
| SMA 크로스오버 fast=5, slow=40 |
18.2% | -56.8% | 0.57 | 0.32 | 2.6x | 51 | 45% |
| ROC 모멘텀 n=15, threshold=-0.04 |
17.1% | -80.4% | 0.57 | 0.21 | 2.4x | 132 | 61% |
| MACD fast=17, slow=54, signal=23 |
16.5% | -67.5% | 0.56 | 0.24 | 2.4x | 55 | 50% |
| ADX / DI 방향성 period=15, threshold=11 |
15.7% | -74.6% | 0.55 | 0.21 | 2.3x | 92 | 58% |
| Keltner 채널 돌파 emaPeriod=18, atrPeriod=33, mult=0.6 |
16.2% | -61.9% | 0.54 | 0.26 | 2.3x | 92 | 36% |
| EMA 크로스오버 fast=39, slow=251 |
9.4% | -79.3% | 0.44 | 0.12 | 1.7x | 5 | 31% |
| Buy and hold | 0.4% | -87.3% | 0.45 | 0.00 | 1.0x | 1 | 100% |
Rules of the top strategy
Trades the direction of a volatility-based trend line that trails below/above price.
- Buy — Buy when price moves above the trend line (flips up) — 20-day volatility, 3.3× band
- Sell — Sell when price drops below the trend line (flips down)