Trend-Following Backtester · Guide · backtest 한국어
equity · US
Rithm Capital Corp. backtest
10 trend-following strategies were compared on the full daily history of Rithm Capital Corp.. 5 beat buy-and-hold CAGR; 볼린저 밴드 돌파 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is Keltner 채널 돌파 (CAGR 1.1%, MDD -4.3%).
Results by strategy
5 of 10 beat buy and hold (CAGR -2.3%, drawdown -82.2%).
Sharpe leader (same as main): 볼린저 밴드 돌파 — CAGR 1.8%, MDD -4.9%, Sharpe 0.48, 4% exposure.
Return/drawdown alternative: Keltner 채널 돌파 — CAGR is 4.0%p higher than buy and hold, while drawdown improves by 77.3%p (CAGR 1.1%, MDD -4.3%, exposure 1%).
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 |
|---|---|---|---|---|---|---|---|
| 볼린저 밴드 돌파 n=32, k=3.3 |
1.8% | -4.9% | 0.48 | 0.36 | 1.3x | 5 | 4% |
| Keltner 채널 돌파 emaPeriod=17, atrPeriod=15, mult=4 |
1.1% | -4.3% | 0.46 | 0.26 | 1.2x | 2 | 1% |
| Donchian 채널 돌파 entryN=12, exitN=50 |
0.2% | -46.7% | 0.13 | 0.01 | 1.0x | 47 | 81% |
| ADX / DI 방향성 period=23, threshold=37 |
0.1% | -4.3% | 0.04 | 0.01 | 1.0x | 2 | 1% |
| ROC 모멘텀 n=147, threshold=-0.04 |
-2.1% | -42.0% | -0.02 | -0.05 | 0.7x | 96 | 64% |
| MACD fast=16, slow=18, signal=16 |
-2.9% | -67.0% | -0.04 | -0.04 | 0.7x | 206 | 50% |
| Supertrend period=29, mult=4 |
-3.1% | -51.7% | -0.06 | -0.06 | 0.7x | 61 | 55% |
| SMA 크로스오버 fast=18, slow=89 |
-4.2% | -63.4% | -0.13 | -0.07 | 0.6x | 51 | 54% |
| Parabolic SAR step=0.01, maxStep=0.1 |
-6.0% | -58.4% | -0.18 | -0.10 | 0.4x | 178 | 53% |
| EMA 크로스오버 fast=56, slow=143 |
-4.9% | -62.7% | -0.19 | -0.08 | 0.5x | 22 | 49% |
| Buy and hold | -2.3% | -82.2% | 0.13 | -0.03 | 0.7x | 1 | 100% |
Rules of the top strategy
Breaking above the upper band (average plus a multiple of volatility) signals a strong move up.
- Buy — Buy when the close breaks above the upper band of the 32-day average (3.3× volatility)
- Sell — Sell when the close falls back to the 32-day middle average