Trend-Following Backtester · Guide · backtest 한국어
equity · US
ADMA Biologics Inc backtest
10 trend-following strategies were compared on the full daily history of ADMA Biologics Inc. 7 beat buy-and-hold CAGR; Keltner 채널 돌파 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is Keltner 채널 돌파 (CAGR 3.7%, MDD -6.9%).
Results by strategy
7 of 10 beat buy and hold (CAGR -0.1%, drawdown -91.3%).
Sharpe leader (same as main): Keltner 채널 돌파 — CAGR 3.7%, MDD -6.9%, Sharpe 0.66, 3% exposure.
CAGR reference leader: ROC 모멘텀 — CAGR 15.7%, MDD -58.2%, exposure 35%.
Return/drawdown alternative: Keltner 채널 돌파 — CAGR is 3.8%p higher than buy and hold, while drawdown improves by 84.4%p (CAGR 3.7%, MDD -6.9%, 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 |
|---|---|---|---|---|---|---|---|
| Keltner 채널 돌파 emaPeriod=10, atrPeriod=20, mult=4 |
3.7% | -6.9% | 0.66 | 0.54 | 1.6x | 6 | 3% |
| ROC 모멘텀 n=186, threshold=0.15 |
15.7% | -58.2% | 0.60 | 0.27 | 6.5x | 54 | 35% |
| ADX / DI 방향성 period=39, threshold=24 |
9.2% | -24.2% | 0.56 | 0.38 | 3.1x | 8 | 8% |
| SMA 크로스오버 fast=18, slow=216 |
14.2% | -58.9% | 0.54 | 0.24 | 5.5x | 22 | 41% |
| EMA 크로스오버 fast=35, slow=191 |
13.7% | -63.8% | 0.53 | 0.22 | 5.2x | 14 | 42% |
| Donchian 채널 돌파 entryN=29, exitN=72 |
9.3% | -77.4% | 0.42 | 0.12 | 3.1x | 21 | 65% |
| Parabolic SAR step=0.02, maxStep=0.3 |
1.6% | -79.5% | 0.24 | 0.02 | 1.2x | 251 | 47% |
| Supertrend period=29, mult=3.8 |
-0.9% | -78.9% | 0.19 | -0.01 | 0.9x | 58 | 46% |
| 볼린저 밴드 돌파 n=55, k=1.8 |
-0.5% | -79.6% | 0.14 | -0.01 | 0.9x | 52 | 31% |
| MACD fast=15, slow=27, signal=14 |
-7.5% | -86.9% | 0.01 | -0.09 | 0.4x | 176 | 47% |
| Buy and hold | -0.1% | -91.3% | 0.32 | -0.00 | 1.0x | 1 | 100% |
Rules of the top strategy
Breaking above the channel top (average plus a multiple of volatility) signals an upside breakout.
- Buy — Buy when the close breaks above the 10-day average + 4× volatility (Keltner top)
- Sell — Sell when the close falls back to the 10-day average