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 볼린저 밴드 돌파 (CAGR 11.9%, MDD -19.1%).
Results by strategy
8 of 10 beat buy and hold (CAGR 3.6%, drawdown -85.0%).
Sharpe leader (same as main): Keltner 채널 돌파 — CAGR 20.3%, MDD -21.2%, Sharpe 0.92, 16% exposure.
Return/drawdown alternative: 볼린저 밴드 돌파 — CAGR is 16.6%p higher than buy and hold, while drawdown improves by 63.8%p (CAGR 11.9%, MDD -19.1%, exposure 11%).
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 |
20.3% | -21.2% | 0.92 | 0.96 | 4.2x | 12 | 16% |
| 볼린저 밴드 돌파 n=32, k=3.2 |
11.9% | -19.1% | 0.71 | 0.62 | 2.4x | 9 | 11% |
| ADX / DI 방향성 period=12, threshold=24 |
11.7% | -42.9% | 0.56 | 0.27 | 2.4x | 71 | 26% |
| MACD fast=13, slow=57, signal=8 |
14.7% | -69.1% | 0.54 | 0.21 | 2.9x | 107 | 52% |
| EMA 크로스오버 fast=51, slow=134 |
13.0% | -39.8% | 0.51 | 0.33 | 2.6x | 8 | 42% |
| SMA 크로스오버 fast=37, slow=139 |
12.5% | -46.5% | 0.51 | 0.27 | 2.5x | 14 | 38% |
| Donchian 채널 돌파 entryN=43, exitN=72 |
12.0% | -64.1% | 0.48 | 0.19 | 2.4x | 16 | 54% |
| ROC 모멘텀 n=139, threshold=0.06 |
10.6% | -49.0% | 0.47 | 0.22 | 2.2x | 38 | 36% |
| Parabolic SAR step=0.02, maxStep=0.1 |
-1.0% | -77.5% | 0.19 | -0.01 | 0.9x | 138 | 51% |
| Supertrend period=15, mult=1.9 |
-4.5% | -80.9% | 0.11 | -0.06 | 0.7x | 107 | 56% |
| Buy and hold | 3.6% | -85.0% | 0.36 | 0.04 | 1.3x | 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