Trend-Following Backtester · Guide · backtest 한국어
equity · US
Adaptive Biotechnologies Corporation backtest
10 trend-following strategies were compared on the full daily history of Adaptive Biotechnologies Corporation. 8 beat buy-and-hold CAGR; EMA 크로스오버 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is 볼린저 밴드 돌파 (CAGR 4.7%, MDD -16.9%).
Results by strategy
8 of 10 beat buy and hold (CAGR -7.9%, drawdown -96.6%).
Sharpe leader (same as main): EMA 크로스오버 — CAGR 27.6%, MDD -44.8%, Sharpe 0.77, 37% exposure.
Return/drawdown alternative: 볼린저 밴드 돌파 — CAGR is 35.5%p higher than buy and hold, while drawdown improves by 51.7%p (CAGR 4.7%, MDD -16.9%, exposure 5%).
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 |
|---|---|---|---|---|---|---|---|
| EMA 크로스오버 fast=11, slow=170 |
27.6% | -44.8% | 0.77 | 0.62 | 5.6x | 5 | 37% |
| SMA 크로스오버 fast=19, slow=178 |
23.7% | -44.1% | 0.69 | 0.54 | 4.5x | 7 | 39% |
| ROC 모멘텀 n=112, threshold=-0.03 |
24.3% | -51.1% | 0.68 | 0.47 | 4.7x | 45 | 45% |
| Donchian 채널 돌파 entryN=109, exitN=79 |
20.2% | -42.6% | 0.64 | 0.47 | 3.7x | 5 | 36% |
| ADX / DI 방향성 period=31, threshold=13 |
10.7% | -57.2% | 0.45 | 0.19 | 2.1x | 41 | 34% |
| 볼린저 밴드 돌파 n=24, k=3.3 |
4.7% | -16.9% | 0.40 | 0.28 | 1.4x | 3 | 5% |
| Supertrend period=9, mult=3.2 |
5.1% | -77.2% | 0.35 | 0.07 | 1.4x | 39 | 50% |
| Keltner 채널 돌파 emaPeriod=28, atrPeriod=9, mult=3.6 |
0.7% | -22.3% | 0.12 | 0.03 | 1.0x | 3 | 3% |
| MACD fast=15, slow=42, signal=14 |
-17.1% | -89.7% | -0.10 | -0.19 | 0.3x | 92 | 53% |
| Parabolic SAR step=0.015, maxStep=0.14 |
-23.1% | -91.7% | -0.26 | -0.25 | 0.2x | 141 | 51% |
| Buy and hold | -7.9% | -96.6% | 0.27 | -0.08 | 0.6x | 1 | 100% |
Rules of the top strategy
Uses two exponential averages (more weight on recent prices) and trades their crossover.
- Buy — Buy when the 11-day EMA crosses above the 170-day EMA
- Sell — Sell when the 11-day EMA falls below the 170-day EMA