Trend-Following Backtester · Guide · backtest 한국어
equity · US
ADTRAN Holdings, Inc. backtest
10 trend-following strategies were compared on the full daily history of ADTRAN Holdings, Inc.. 9 beat buy-and-hold CAGR; 볼린저 밴드 돌파 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is 볼린저 밴드 돌파 (CAGR 5.1%, MDD -29.4%).
Results by strategy
9 of 10 beat buy and hold (CAGR 1.3%, drawdown -90.7%).
Sharpe leader (same as main): 볼린저 밴드 돌파 — CAGR 5.1%, MDD -29.4%, Sharpe 0.45, 8% exposure.
CAGR reference leader: SMA 크로스오버 — CAGR 5.3%, MDD -75.8%, exposure 48%.
Return/drawdown alternative: 볼린저 밴드 돌파 — CAGR is 3.9%p higher than buy and hold, while drawdown improves by 61.3%p (CAGR 5.1%, MDD -29.4%, exposure 8%).
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=38, k=3.4 |
5.1% | -29.4% | 0.45 | 0.17 | 4.9x | 28 | 8% |
| Keltner 채널 돌파 emaPeriod=30, atrPeriod=10, mult=3.2 |
4.8% | -58.0% | 0.36 | 0.08 | 4.5x | 74 | 15% |
| SMA 크로스오버 fast=25, slow=113 |
5.3% | -75.8% | 0.32 | 0.07 | 5.2x | 84 | 48% |
| ADX / DI 방향성 period=21, threshold=16 |
5.2% | -81.8% | 0.32 | 0.06 | 5.1x | 304 | 35% |
| Supertrend period=12, mult=5 |
4.9% | -82.7% | 0.31 | 0.06 | 4.6x | 90 | 51% |
| EMA 크로스오버 fast=30, slow=89 |
4.4% | -82.5% | 0.30 | 0.05 | 4.0x | 84 | 48% |
| Donchian 채널 돌파 entryN=54, exitN=40 |
2.9% | -72.9% | 0.25 | 0.04 | 2.5x | 78 | 43% |
| ROC 모멘텀 n=95, threshold=0.03 |
2.1% | -85.9% | 0.23 | 0.02 | 1.9x | 274 | 46% |
| Parabolic SAR step=0.01, maxStep=0.34 |
1.5% | -88.2% | 0.21 | 0.02 | 1.6x | 414 | 50% |
| MACD fast=18, slow=56, signal=18 |
-3.1% | -94.9% | 0.08 | -0.03 | 0.4x | 330 | 51% |
| Buy and hold | 1.3% | -90.7% | 0.28 | 0.01 | 1.5x | 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 38-day average (3.4× volatility)
- Sell — Sell when the close falls back to the 38-day middle average