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 7.4%, MDD -11.7%).
Results by strategy
10 of 10 beat buy and hold (CAGR -34.0%, drawdown -96.7%).
Sharpe leader (same as main): 볼린저 밴드 돌파 — CAGR 11.2%, MDD -18.1%, Sharpe 0.70, 3% exposure.
Return/drawdown alternative: Keltner 채널 돌파 — CAGR is 45.2%p higher than buy and hold, while drawdown improves by 78.7%p (CAGR 7.4%, MDD -11.7%, exposure 2%).
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 |
11.2% | -18.1% | 0.70 | 0.62 | 1.8x | 2 | 3% |
| Keltner 채널 돌파 emaPeriod=14, atrPeriod=20, mult=3.9 |
7.4% | -11.7% | 0.57 | 0.64 | 1.5x | 2 | 2% |
| SMA 크로스오버 fast=7, slow=152 |
2.2% | -48.8% | 0.24 | 0.04 | 1.1x | 9 | 25% |
| EMA 크로스오버 fast=7, slow=118 |
-0.3% | -52.5% | 0.18 | -0.00 | 1.0x | 21 | 24% |
| Donchian 채널 돌파 entryN=97, exitN=19 |
-0.2% | -41.1% | 0.15 | -0.00 | 1.0x | 8 | 16% |
| ROC 모멘텀 n=40, threshold=0.1 |
-2.2% | -53.5% | 0.13 | -0.04 | 0.9x | 66 | 25% |
| ADX / DI 방향성 period=19, threshold=16 |
-3.1% | -62.3% | 0.13 | -0.05 | 0.8x | 56 | 32% |
| Supertrend period=14, mult=3.6 |
-6.3% | -70.1% | 0.08 | -0.09 | 0.7x | 26 | 37% |
| MACD fast=6, slow=46, signal=12 |
-13.7% | -88.0% | -0.05 | -0.16 | 0.4x | 100 | 52% |
| Parabolic SAR step=0.04, maxStep=0.38 |
-14.0% | -86.2% | -0.09 | -0.16 | 0.4x | 185 | 44% |
| Buy and hold | -34.0% | -96.7% | -0.24 | -0.35 | 0.1x | 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