Trend-Following Backtester · Guide · backtest 한국어
equity · TW
Lin BioScience, Inc. backtest
10 trend-following strategies were compared on the full daily history of Lin BioScience, Inc.. 5 beat buy-and-hold CAGR; 볼린저 밴드 돌파 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is Keltner 채널 돌파 (CAGR 51.6%, MDD -41.5%).
Results by strategy
5 of 10 beat buy and hold (CAGR 46.4%, drawdown -74.2%).
Sharpe leader (same as main): 볼린저 밴드 돌파 — CAGR 40.4%, MDD -45.8%, Sharpe 1.12, 26% exposure.
CAGR reference leader: EMA 크로스오버 — CAGR 59.4%, MDD -52.2%, exposure 52%.
Return/drawdown alternative: Keltner 채널 돌파 — CAGR is 6.1%p lower than buy and hold, while drawdown improves by 28.4%p (CAGR 51.6%, MDD -41.5%, exposure 41%).
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=18, k=2.2 |
40.4% | -45.8% | 1.12 | 0.88 | 14.6x | 57 | 26% |
| EMA 크로스오버 fast=9, slow=83 |
59.4% | -52.2% | 1.11 | 1.14 | 39.8x | 17 | 52% |
| SMA 크로스오버 fast=7, slow=72 |
58.0% | -48.8% | 1.10 | 1.19 | 37.1x | 41 | 50% |
| Parabolic SAR step=0.015, maxStep=0.3 |
54.3% | -53.3% | 1.09 | 1.02 | 30.7x | 93 | 49% |
| Keltner 채널 돌파 emaPeriod=54, atrPeriod=11, mult=1.7 |
51.6% | -41.5% | 1.04 | 1.24 | 26.7x | 35 | 41% |
| ROC 모멘텀 n=59, threshold=0.09 |
42.4% | -46.3% | 1.03 | 0.92 | 16.3x | 69 | 37% |
| Donchian 채널 돌파 entryN=26, exitN=38 |
51.0% | -66.0% | 1.00 | 0.77 | 25.9x | 21 | 61% |
| MACD fast=9, slow=13, signal=9 |
38.3% | -51.0% | 1.00 | 0.75 | 12.9x | 182 | 47% |
| Supertrend period=8, mult=4.8 |
40.3% | -50.6% | 0.97 | 0.80 | 14.5x | 19 | 61% |
| ADX / DI 방향성 period=10, threshold=34 |
31.1% | -49.1% | 0.96 | 0.63 | 8.5x | 61 | 23% |
| Buy and hold | 46.4% | -74.2% | 0.90 | 0.63 | 20.3x | 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 18-day average (2.2× volatility)
- Sell — Sell when the close falls back to the 18-day middle average