Trend-Following Backtester · Guide · backtest 한국어
equity · US
Aquestive Therapeutics, Inc. backtest
10 trend-following strategies were compared on the full daily history of Aquestive Therapeutics, Inc.. 10 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 31.8%, MDD -38.4%).
Results by strategy
10 of 10 beat buy and hold (CAGR -16.8%, drawdown -96.7%).
Sharpe leader (same as main): Keltner 채널 돌파 — CAGR 31.8%, MDD -38.4%, Sharpe 0.84, 22% exposure.
Return/drawdown alternative: Keltner 채널 돌파 — CAGR is 48.6%p higher than buy and hold, while drawdown improves by 58.3%p (CAGR 31.8%, MDD -38.4%, exposure 22%).
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=25, atrPeriod=21, mult=2.1 |
31.8% | -38.4% | 0.84 | 0.83 | 9.1x | 36 | 22% |
| ROC 모멘텀 n=24, threshold=0.13 |
27.5% | -44.2% | 0.74 | 0.62 | 7.0x | 102 | 28% |
| 볼린저 밴드 돌파 n=38, k=2.3 |
24.3% | -46.8% | 0.71 | 0.52 | 5.7x | 28 | 24% |
| ADX / DI 방향성 period=18, threshold=20 |
22.5% | -52.6% | 0.65 | 0.43 | 5.1x | 62 | 30% |
| Supertrend period=27, mult=3.2 |
20.7% | -84.1% | 0.62 | 0.25 | 4.5x | 40 | 33% |
| MACD fast=18, slow=29, signal=14 |
16.4% | -68.3% | 0.55 | 0.24 | 3.4x | 94 | 51% |
| SMA 크로스오버 fast=18, slow=56 |
12.8% | -74.0% | 0.50 | 0.17 | 2.6x | 36 | 39% |
| Parabolic SAR step=0.025, maxStep=0.34 |
10.7% | -80.6% | 0.47 | 0.13 | 2.3x | 184 | 44% |
| EMA 크로스오버 fast=1, slow=121 |
9.0% | -67.0% | 0.45 | 0.13 | 2.0x | 46 | 37% |
| Donchian 채널 돌파 entryN=39, exitN=20 |
9.0% | -78.9% | 0.42 | 0.11 | 2.0x | 28 | 31% |
| Buy and hold | -16.8% | -96.7% | 0.23 | -0.17 | 0.2x | 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 25-day average + 2.1× volatility (Keltner top)
- Sell — Sell when the close falls back to the 25-day average