Trend-Following Backtester · Guide · backtest 한국어
equity · US
Electromed, Inc. backtest
10 trend-following strategies were compared on the full daily history of Electromed, Inc.. 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 15.6%, drawdown -78.7%).
Sharpe leader (same as main): Donchian 채널 돌파 — CAGR 9.3%, MDD -83.6%, Sharpe 0.42, 91% 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=4, exitN=88 |
9.3% | -83.6% | 0.42 | 0.11 | 4.1x | 49 | 91% |
| SMA 크로스오버 fast=31, slow=43 |
8.7% | -62.6% | 0.38 | 0.14 | 3.8x | 119 | 51% |
| ADX / DI 방향성 period=36, threshold=9 |
3.4% | -69.7% | 0.28 | 0.05 | 1.7x | 169 | 48% |
| EMA 크로스오버 fast=36, slow=82 |
3.3% | -63.0% | 0.28 | 0.05 | 1.7x | 49 | 49% |
| ROC 모멘텀 n=141, threshold=0 |
0.3% | -72.7% | 0.23 | 0.00 | 1.0x | 185 | 53% |
| Parabolic SAR step=0.03, maxStep=0.22 |
0.3% | -79.3% | 0.23 | 0.00 | 1.0x | 402 | 49% |
| Supertrend period=25, mult=5 |
0.1% | -67.7% | 0.22 | 0.00 | 1.0x | 45 | 53% |
| 볼린저 밴드 돌파 n=15, k=3.5 |
2.6% | -45.9% | 0.21 | 0.06 | 1.5x | 14 | 3% |
| Keltner 채널 돌파 emaPeriod=41, atrPeriod=10, mult=4 |
1.2% | -56.4% | 0.16 | 0.02 | 1.2x | 18 | 10% |
| MACD fast=15, slow=37, signal=19 |
-5.0% | -92.0% | 0.11 | -0.05 | 0.4x | 202 | 49% |
| Buy and hold | 15.6% | -78.7% | 0.51 | 0.20 | 10.2x | 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 4 days
- Sell — Sell when price breaks below the lowest low of the last 88 days