Trend-Following Backtester · Guide · backtest 한국어
equity · US
Regal Rexnord Corporation backtest
10 trend-following strategies were compared on the full daily history of Regal Rexnord Corporation. 0 beat buy-and-hold CAGR; Donchian 채널 돌파 ranks first by Sharpe, matching the main backtester.
Results by strategy
0 of 10 beat buy and hold (CAGR 10.8%, drawdown -58.2%).
Sharpe leader (same as main): Donchian 채널 돌파 — CAGR 9.2%, MDD -60.3%, Sharpe 0.45, 83% exposure.
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 entryN=11, exitN=65 |
9.2% | -60.3% | 0.45 | 0.15 | 59.8x | 147 | 83% |
| Supertrend period=9, mult=4 |
3.5% | -62.5% | 0.27 | 0.06 | 5.0x | 276 | 53% |
| SMA 크로스오버 fast=19, slow=81 |
2.7% | -64.3% | 0.23 | 0.04 | 3.4x | 170 | 58% |
| ROC 모멘텀 n=45, threshold=-0.09 |
2.2% | -80.5% | 0.22 | 0.03 | 2.7x | 477 | 82% |
| MACD fast=33, slow=46, signal=20 |
2.2% | -69.7% | 0.21 | 0.03 | 2.7x | 412 | 50% |
| ADX / DI 방향성 period=36, threshold=31 |
0.8% | -23.5% | 0.20 | 0.04 | 1.5x | 10 | 2% |
| EMA 크로스오버 fast=33, slow=35 |
1.6% | -69.2% | 0.19 | 0.02 | 2.1x | 196 | 59% |
| 볼린저 밴드 돌파 n=43, k=3.5 |
0.7% | -44.1% | 0.12 | 0.02 | 1.4x | 52 | 10% |
| Parabolic SAR step=0.005, maxStep=0.36 |
-0.1% | -82.3% | 0.11 | -0.00 | 0.9x | 390 | 55% |
| Keltner 채널 돌파 emaPeriod=31, atrPeriod=26, mult=1.8 |
-0.1% | -77.8% | 0.09 | -0.00 | 0.9x | 388 | 37% |
| Buy and hold | 10.8% | -58.2% | 0.47 | 0.18 | 114.8x | 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 11 days
- Sell — Sell when price breaks below the lowest low of the last 65 days