Trend-Following Backtester · Guide · backtest 한국어
equity · US
RingCentral, Inc. backtest
10 trend-following strategies were compared on the full daily history of RingCentral, Inc.. 4 beat buy-and-hold CAGR; EMA 크로스오버 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is EMA 크로스오버 (CAGR 28.0%, MDD -55.6%).
Results by strategy
4 of 10 beat buy and hold (CAGR 10.9%, drawdown -95.1%).
Sharpe leader (same as main): EMA 크로스오버 — CAGR 28.0%, MDD -55.6%, Sharpe 0.88, 53% exposure.
Return/drawdown alternative: EMA 크로스오버 — CAGR is 17.1%p higher than buy and hold, while drawdown improves by 39.5%p (CAGR 28.0%, MDD -55.6%, exposure 53%).
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 |
|---|---|---|---|---|---|---|---|
| EMA 크로스오버 fast=18, slow=280 |
28.0% | -55.6% | 0.88 | 0.50 | 24.2x | 9 | 53% |
| SMA 크로스오버 fast=52, slow=212 |
25.8% | -68.6% | 0.78 | 0.38 | 19.4x | 11 | 60% |
| ROC 모멘텀 n=142, threshold=-0.01 |
19.6% | -80.8% | 0.65 | 0.24 | 10.1x | 69 | 61% |
| Supertrend period=16, mult=3.8 |
15.1% | -64.0% | 0.57 | 0.24 | 6.2x | 53 | 59% |
| 볼린저 밴드 돌파 n=109, k=2.8 |
8.9% | -38.5% | 0.51 | 0.23 | 3.0x | 13 | 24% |
| Donchian 채널 돌파 entryN=14, exitN=31 |
9.3% | -82.2% | 0.42 | 0.11 | 3.1x | 65 | 73% |
| Keltner 채널 돌파 emaPeriod=114, atrPeriod=23, mult=2.6 |
7.1% | -70.5% | 0.38 | 0.10 | 2.4x | 37 | 44% |
| ADX / DI 방향성 period=37, threshold=22 |
2.8% | -22.9% | 0.33 | 0.12 | 1.4x | 8 | 7% |
| Parabolic SAR step=0.01, maxStep=0.12 |
-3.2% | -86.4% | 0.10 | -0.04 | 0.7x | 175 | 54% |
| MACD fast=14, slow=23, signal=17 |
-9.7% | -91.7% | -0.08 | -0.11 | 0.3x | 202 | 51% |
| Buy and hold | 10.9% | -95.1% | 0.46 | 0.11 | 3.8x | 1 | 100% |
Rules of the top strategy
Uses two exponential averages (more weight on recent prices) and trades their crossover.
- Buy — Buy when the 18-day EMA crosses above the 280-day EMA
- Sell — Sell when the 18-day EMA falls below the 280-day EMA