Trend-Following Backtester · Guide · backtest 한국어
equity · US
Ryan Specialty Holdings, Inc. backtest
10 trend-following strategies were compared on the full daily history of Ryan Specialty Holdings, Inc.. 0 beat buy-and-hold CAGR; 볼린저 밴드 돌파 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is EMA 크로스오버 (CAGR 8.0%, MDD -30.2%).
Results by strategy
0 of 10 beat buy and hold (CAGR 9.8%, drawdown -61.3%).
Sharpe leader (same as main): 볼린저 밴드 돌파 — CAGR 4.4%, MDD -12.7%, Sharpe 0.47, 10% exposure.
CAGR reference leader: EMA 크로스오버 — CAGR 8.0%, MDD -30.2%, exposure 58%.
Return/drawdown alternative: EMA 크로스오버 — CAGR is 5.4%p lower than buy and hold, while drawdown improves by 48.6%p (CAGR 8.0%, MDD -30.2%, exposure 58%).
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 |
|---|---|---|---|---|---|---|---|
| 볼린저 밴드 돌파 n=29, k=3 |
4.4% | -12.7% | 0.47 | 0.35 | 1.2x | 7 | 10% |
| EMA 크로스오버 fast=30, slow=202 |
8.0% | -30.2% | 0.44 | 0.27 | 1.5x | 6 | 58% |
| SMA 크로스오버 fast=57, slow=215 |
5.9% | -30.2% | 0.37 | 0.20 | 1.3x | 8 | 55% |
| Donchian 채널 돌파 entryN=88, exitN=28 |
3.9% | -19.0% | 0.35 | 0.21 | 1.2x | 9 | 25% |
| Supertrend period=19, mult=1.9 |
3.9% | -41.1% | 0.28 | 0.10 | 1.2x | 61 | 58% |
| ADX / DI 방향성 period=16, threshold=22 |
2.3% | -21.3% | 0.23 | 0.11 | 1.1x | 29 | 21% |
| Parabolic SAR step=0.03, maxStep=0.08 |
1.7% | -48.0% | 0.19 | 0.04 | 1.1x | 95 | 57% |
| ROC 모멘텀 n=132, threshold=-0.04 |
0.2% | -32.1% | 0.14 | 0.01 | 1.0x | 44 | 63% |
| Keltner 채널 돌파 emaPeriod=46, atrPeriod=28, mult=3 |
0.2% | -21.7% | 0.08 | 0.01 | 1.0x | 17 | 23% |
| MACD fast=18, slow=48, signal=11 |
-3.7% | -48.2% | -0.03 | -0.08 | 0.8x | 67 | 50% |
| Buy and hold | 9.8% | -61.3% | 0.45 | 0.16 | 1.6x | 1 | 100% |
Rules of the top strategy
Breaking above the upper band (average plus a multiple of volatility) signals a strong move up.
- Buy — Buy when the close breaks above the upper band of the 29-day average (3× volatility)
- Sell — Sell when the close falls back to the 29-day middle average