Trend-Following Backtester · Guide · backtest 한국어
equity · US
RPM International Inc. backtest
10 trend-following strategies were compared on the full daily history of RPM International Inc.. 0 beat buy-and-hold CAGR; Donchian 채널 돌파 ranks first by Sharpe, matching the main backtester. Its 95% market exposure makes it hold-like.
Results by strategy
0 of 10 beat buy and hold (CAGR 9.9%, drawdown -63.1%).
Sharpe leader (same as main): Donchian 채널 돌파 — CAGR 7.2%, MDD -58.5%, Sharpe 0.39, 95% exposure. With at least 95% exposure, it should be treated as hold-like, not strong evidence of timing skill.
No strategy retained at least 75% of buy-and-hold CAGR while reducing drawdown by both 20% relatively and 5 percentage points absolutely.
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 |
|---|---|---|---|---|---|---|---|
| Donchian 채널 돌파 Hold-like · Exposure 95% entryN=3, exitN=140 |
7.2% | -58.5% | 0.39 | 0.12 | 25.6x | 107 | 95% |
| ROC 모멘텀 Hold-like · Exposure 95% n=48, threshold=-0.15 |
5.1% | -72.1% | 0.32 | 0.07 | 10.3x | 185 | 95% |
| SMA 크로스오버 fast=84, slow=97 |
3.7% | -51.2% | 0.28 | 0.07 | 5.5x | 207 | 62% |
| Supertrend period=26, mult=5 |
1.8% | -63.3% | 0.19 | 0.03 | 2.3x | 143 | 61% |
| EMA 크로스오버 fast=58, slow=205 |
0.7% | -66.0% | 0.14 | 0.01 | 1.4x | 73 | 71% |
| Parabolic SAR step=0.025, maxStep=0.06 |
0.2% | -88.0% | 0.11 | 0.00 | 1.1x | 688 | 56% |
| 볼린저 밴드 돌파 n=30, k=3.5 |
0.3% | -32.5% | 0.07 | 0.01 | 1.1x | 26 | 3% |
| MACD fast=19, slow=33, signal=11 |
-1.3% | -88.5% | 0.03 | -0.01 | 0.5x | 680 | 50% |
| Keltner 채널 돌파 emaPeriod=17, atrPeriod=8, mult=3.6 |
-0.0% | -14.6% | 0.01 | -0.00 | 1.0x | 10 | 1% |
| ADX / DI 방향성 period=21, threshold=12 |
-3.5% | -88.9% | -0.10 | -0.04 | 0.2x | 708 | 51% |
| Buy and hold | 9.9% | -63.1% | 0.47 | 0.16 | 81.3x | 1 | 100% |
Rules of the top strategy
A new high means a trend starting; a new low means it’s over (turtle-trading style).
- Buy — Buy on a breakout above the highest high of the last 3 days
- Sell — Sell when price breaks below the lowest low of the last 140 days