Trend-Following Backtester · Guide · backtest 한국어
equity · US
Resideo Technologies, Inc. backtest
10 trend-following strategies were compared on the full daily history of Resideo Technologies, Inc.. 8 beat buy-and-hold CAGR; Keltner 채널 돌파 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is Keltner 채널 돌파 (CAGR 20.0%, MDD -21.2%).
Results by strategy
8 of 10 beat buy and hold (CAGR 0.9%, drawdown -85.0%).
Sharpe leader (same as main): Keltner 채널 돌파 — CAGR 20.0%, MDD -21.2%, Sharpe 0.91, 16% exposure.
Return/drawdown alternative: Keltner 채널 돌파 — CAGR is 19.2%p higher than buy and hold, while drawdown improves by 63.8%p (CAGR 20.0%, MDD -21.2%, exposure 16%).
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 |
|---|---|---|---|---|---|---|---|
| Keltner 채널 돌파 emaPeriod=30, atrPeriod=16, mult=3.5 |
20.0% | -21.2% | 0.91 | 0.95 | 4.2x | 12 | 16% |
| 볼린저 밴드 돌파 n=32, k=3.2 |
9.5% | -23.8% | 0.56 | 0.40 | 2.0x | 10 | 11% |
| SMA 크로스오버 fast=37, slow=139 |
12.4% | -46.5% | 0.50 | 0.27 | 2.5x | 14 | 38% |
| Donchian 채널 돌파 entryN=43, exitN=72 |
11.8% | -64.1% | 0.48 | 0.18 | 2.4x | 16 | 54% |
| MACD fast=13, slow=57, signal=8 |
11.2% | -69.1% | 0.47 | 0.16 | 2.3x | 110 | 52% |
| ROC 모멘텀 n=139, threshold=0.06 |
10.5% | -49.0% | 0.47 | 0.21 | 2.2x | 38 | 36% |
| ADX / DI 방향성 period=12, threshold=24 |
8.3% | -42.9% | 0.43 | 0.19 | 1.9x | 74 | 26% |
| EMA 크로스오버 fast=51, slow=134 |
9.3% | -46.8% | 0.42 | 0.20 | 2.0x | 10 | 42% |
| Parabolic SAR step=0.02, maxStep=0.1 |
-2.1% | -77.5% | 0.16 | -0.03 | 0.8x | 140 | 51% |
| Supertrend period=15, mult=1.9 |
-6.3% | -80.9% | 0.07 | -0.08 | 0.6x | 108 | 55% |
| Buy and hold | 0.9% | -85.0% | 0.32 | 0.01 | 1.1x | 1 | 100% |
Rules of the top strategy
Breaking above the channel top (average plus a multiple of volatility) signals an upside breakout.
- Buy — Buy when the close breaks above the 30-day average + 3.5× volatility (Keltner top)
- Sell — Sell when the close falls back to the 30-day average