Trend-Following Backtester · Guide · backtest 한국어
equity · US
RLI Corp. backtest
10 trend-following strategies were compared on the full daily history of RLI Corp.. 0 beat buy-and-hold CAGR; ADX / DI 방향성 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is EMA 크로스오버 (CAGR 11.4%, MDD -41.4%).
Results by strategy
0 of 10 beat buy and hold (CAGR 12.9%, drawdown -64.0%).
Sharpe leader (same as main): ADX / DI 방향성 — CAGR 3.7%, MDD -15.5%, Sharpe 0.65, 5% exposure.
CAGR reference leader: EMA 크로스오버 — CAGR 11.4%, MDD -41.4%, exposure 76%.
Return/drawdown alternative: EMA 크로스오버 — CAGR is 9.2%p lower than buy and hold, while drawdown improves by 48.6%p (CAGR 11.4%, MDD -41.4%, exposure 76%).
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 |
|---|---|---|---|---|---|---|---|
| ADX / DI 방향성 period=37, threshold=49 |
3.7% | -15.5% | 0.65 | 0.24 | 5.5x | 8 | 5% |
| EMA 크로스오버 fast=65, slow=382 |
11.4% | -41.4% | 0.60 | 0.28 | 153.5x | 24 | 76% |
| SMA 크로스오버 fast=59, slow=266 |
10.1% | -54.4% | 0.55 | 0.18 | 85.9x | 56 | 68% |
| 볼린저 밴드 돌파 n=22, k=3.4 |
2.8% | -38.6% | 0.45 | 0.07 | 3.6x | 46 | 6% |
| Donchian 채널 돌파 entryN=11, exitN=52 |
7.9% | -55.8% | 0.45 | 0.14 | 34.7x | 175 | 81% |
| ROC 모멘텀 n=141, threshold=-0.08 |
7.5% | -64.9% | 0.43 | 0.12 | 28.8x | 273 | 81% |
| Supertrend period=17, mult=4.6 |
5.0% | -65.6% | 0.35 | 0.08 | 9.8x | 191 | 57% |
| Keltner 채널 돌파 emaPeriod=56, atrPeriod=18, mult=2.4 |
4.0% | -78.5% | 0.33 | 0.05 | 6.1x | 213 | 40% |
| Parabolic SAR step=0.005, maxStep=0.36 |
4.4% | -82.0% | 0.32 | 0.05 | 7.4x | 357 | 57% |
| MACD fast=13, slow=27, signal=11 |
1.0% | -88.5% | 0.15 | 0.01 | 1.6x | 770 | 50% |
| Buy and hold | 12.9% | -64.0% | 0.57 | 0.20 | 277.9x | 1 | 100% |
Rules of the top strategy
Looks at both the direction and the strength of the trend; holds only in a strong uptrend.
- Buy — Buy when up-direction (+DI) beats down-direction (−DI) and trend strength (ADX, 37-day) is ≥ 49
- Sell — Sell when direction flips or the trend weakens (ADX < 49)