Trend-Following Backtester · Guide · backtest 한국어
equity · US
RTX Corporation backtest
10 trend-following strategies were compared on the full daily history of RTX 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 10.3%, drawdown -55.1%).
Sharpe leader (same as main): Donchian 채널 돌파 — CAGR 9.1%, MDD -60.4%, Sharpe 0.47, 95% 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=6, exitN=137 |
9.1% | -60.4% | 0.47 | 0.15 | 142.3x | 111 | 95% |
| ROC 모멘텀 n=115, threshold=-0.1 |
6.5% | -63.6% | 0.40 | 0.10 | 36.2x | 277 | 82% |
| SMA 크로스오버 fast=9, slow=222 |
5.7% | -47.0% | 0.38 | 0.12 | 23.3x | 147 | 67% |
| EMA 크로스오버 fast=34, slow=199 |
5.6% | -49.0% | 0.37 | 0.11 | 22.0x | 91 | 69% |
| Supertrend period=28, mult=5 |
4.9% | -45.7% | 0.35 | 0.11 | 15.2x | 195 | 61% |
| Parabolic SAR step=0.005, maxStep=0.04 |
4.7% | -51.7% | 0.34 | 0.09 | 13.3x | 412 | 58% |
| 볼린저 밴드 돌파 n=47, k=1.5 |
2.4% | -58.9% | 0.23 | 0.04 | 3.9x | 353 | 46% |
| Keltner 채널 돌파 emaPeriod=33, atrPeriod=16, mult=1.3 |
0.7% | -75.3% | 0.12 | 0.01 | 1.5x | 558 | 46% |
| MACD fast=21, slow=33, signal=18 |
0.2% | -81.2% | 0.10 | 0.00 | 1.1x | 682 | 51% |
| ADX / DI 방향성 period=38, threshold=26 |
0.1% | -28.9% | 0.05 | 0.00 | 1.1x | 24 | 4% |
| Buy and hold | 10.3% | -55.1% | 0.49 | 0.19 | 261.1x | 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 6 days
- Sell — Sell when price breaks below the lowest low of the last 137 days