Trend-Following Backtester · Guide · backtest 한국어
equity · US
AbCellera Biologics Inc. backtest
10 trend-following strategies were compared on the full daily history of AbCellera Biologics Inc.. 10 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 11.2%, MDD -11.7%).
Results by strategy
10 of 10 beat buy and hold (CAGR -24.9%, drawdown -96.7%).
Sharpe leader (same as main): 볼린저 밴드 돌파 — CAGR 15.0%, MDD -18.1%, Sharpe 0.79, 4% exposure.
CAGR reference leader: SMA 크로스오버 — CAGR 15.4%, MDD -48.8%, exposure 26%.
Return/drawdown alternative: Keltner 채널 돌파 — CAGR is 39.9%p higher than buy and hold, while drawdown improves by 78.7%p (CAGR 11.2%, MDD -11.7%, exposure 3%).
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=19, k=3.4 |
15.0% | -18.1% | 0.79 | 0.83 | 2.2x | 3 | 4% |
| Keltner 채널 돌파 emaPeriod=14, atrPeriod=20, mult=3.9 |
11.2% | -11.7% | 0.68 | 0.95 | 1.8x | 3 | 3% |
| SMA 크로스오버 fast=7, slow=152 |
15.4% | -48.8% | 0.54 | 0.32 | 2.3x | 9 | 26% |
| EMA 크로스오버 fast=7, slow=118 |
12.7% | -52.5% | 0.49 | 0.24 | 2.0x | 21 | 26% |
| ADX / DI 방향성 period=19, threshold=16 |
9.1% | -62.3% | 0.41 | 0.15 | 1.6x | 57 | 33% |
| ROC 모멘텀 n=40, threshold=0.1 |
7.9% | -53.5% | 0.38 | 0.15 | 1.5x | 67 | 26% |
| Donchian 채널 돌파 entryN=97, exitN=19 |
3.4% | -41.1% | 0.26 | 0.08 | 1.2x | 9 | 17% |
| MACD fast=6, slow=46, signal=12 |
-4.6% | -88.0% | 0.16 | -0.05 | 0.8x | 101 | 53% |
| Supertrend period=14, mult=3.6 |
-2.9% | -70.1% | 0.16 | -0.04 | 0.8x | 27 | 38% |
| Parabolic SAR step=0.04, maxStep=0.38 |
-5.6% | -86.2% | 0.13 | -0.06 | 0.7x | 189 | 45% |
| Buy and hold | -24.9% | -96.7% | -0.04 | -0.26 | 0.2x | 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 19-day average (3.4× volatility)
- Sell — Sell when the close falls back to the 19-day middle average