Trend-Following Backtester · Guide · backtest 한국어
equity · US
AtriCure, Inc. backtest
10 trend-following strategies were compared on the full daily history of AtriCure, Inc.. 9 beat buy-and-hold CAGR; Donchian 채널 돌파 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is EMA 크로스오버 (CAGR 12.0%, MDD -46.8%).
Results by strategy
9 of 10 beat buy and hold (CAGR 6.0%, drawdown -92.8%).
Sharpe leader (same as main): Donchian 채널 돌파 — CAGR 15.1%, MDD -59.6%, Sharpe 0.57, 62% exposure.
Return/drawdown alternative: EMA 크로스오버 — CAGR is 9.1%p higher than buy and hold, while drawdown improves by 33.3%p (CAGR 12.0%, MDD -46.8%, exposure 54%).
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 |
|---|---|---|---|---|---|---|---|
| Donchian 채널 돌파 entryN=61, exitN=100 |
15.1% | -59.6% | 0.57 | 0.25 | 19.4x | 25 | 62% |
| Keltner 채널 돌파 emaPeriod=53, atrPeriod=24, mult=2.2 |
12.3% | -53.7% | 0.56 | 0.23 | 11.6x | 75 | 38% |
| SMA 크로스오버 fast=26, slow=123 |
13.7% | -48.8% | 0.55 | 0.28 | 15.0x | 51 | 51% |
| EMA 크로스오버 fast=48, slow=129 |
12.0% | -46.8% | 0.51 | 0.26 | 10.8x | 33 | 54% |
| ROC 모멘텀 n=89, threshold=0.02 |
11.4% | -49.7% | 0.49 | 0.23 | 9.7x | 151 | 51% |
| Supertrend period=8, mult=2.5 |
9.5% | -65.9% | 0.44 | 0.14 | 6.8x | 149 | 55% |
| ADX / DI 방향성 period=35, threshold=14 |
11.1% | -51.6% | 0.42 | 0.21 | 9.2x | 121 | 31% |
| 볼린저 밴드 돌파 n=54, k=1.5 |
8.3% | -55.0% | 0.42 | 0.15 | 5.3x | 99 | 40% |
| Parabolic SAR step=0.005, maxStep=0.14 |
10.9% | -66.3% | 0.42 | 0.16 | 8.9x | 165 | 53% |
| MACD fast=16, slow=42, signal=20 |
1.9% | -74.2% | 0.23 | 0.03 | 1.5x | 243 | 53% |
| Buy and hold | 6.0% | -92.8% | 0.36 | 0.06 | 3.4x | 1 | 100% |
Rules of the top strategy
A new high means a trend starting; a new low means it’s over (turtle-trading style).
- Buy — Buy on a breakout above the highest high of the last 61 days
- Sell — Sell when price breaks below the lowest low of the last 100 days