Trend-Following Backtester · Guide · backtest 한국어
equity · US
RPC, Inc. backtest
10 trend-following strategies were compared on the full daily history of RPC, Inc.. 0 beat buy-and-hold CAGR; SMA 크로스오버 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is EMA 크로스오버 (CAGR 6.0%, MDD -73.7%).
Results by strategy
0 of 10 beat buy and hold (CAGR 7.8%, drawdown -92.7%).
Sharpe leader (same as main): SMA 크로스오버 — CAGR 6.6%, MDD -76.2%, Sharpe 0.36, 56% exposure.
Return/drawdown alternative: EMA 크로스오버 — CAGR is 1.2%p lower than buy and hold, while drawdown improves by 16.4%p (CAGR 6.0%, MDD -73.7%, exposure 55%).
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=62, slow=214 |
6.6% | -76.2% | 0.36 | 0.09 | 14.7x | 55 | 56% |
| EMA 크로스오버 fast=38, slow=217 |
6.0% | -73.7% | 0.34 | 0.08 | 11.6x | 56 | 55% |
| Donchian 채널 돌파 entryN=84, exitN=75 |
4.5% | -70.3% | 0.30 | 0.06 | 6.5x | 72 | 53% |
| Supertrend period=22, mult=3 |
1.4% | -85.0% | 0.21 | 0.02 | 1.8x | 392 | 49% |
| ROC 모멘텀 n=84, threshold=-0.03 |
1.3% | -71.2% | 0.21 | 0.02 | 1.7x | 464 | 59% |
| 볼린저 밴드 돌파 n=76, k=1.4 |
1.3% | -73.2% | 0.19 | 0.02 | 1.7x | 174 | 39% |
| Parabolic SAR step=0.015, maxStep=0.28 |
-0.8% | -91.2% | 0.15 | -0.01 | 0.7x | 678 | 50% |
| Keltner 채널 돌파 emaPeriod=58, atrPeriod=24, mult=2 |
-0.5% | -76.9% | 0.12 | -0.01 | 0.8x | 270 | 39% |
| ADX / DI 방향성 period=22, threshold=17 |
-1.0% | -75.6% | 0.10 | -0.01 | 0.7x | 378 | 35% |
| MACD fast=23, slow=44, signal=18 |
-3.8% | -94.6% | 0.07 | -0.04 | 0.2x | 468 | 50% |
| Buy and hold | 7.8% | -92.7% | 0.40 | 0.08 | 23.4x | 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 62-day average price crosses above the 214-day average
- Sell — Sell (to cash) when the 62-day average falls below the 214-day average