Trend-Following Backtester · Guide · backtest 한국어
equity · US
Azenta, Inc. backtest
10 trend-following strategies were compared on the full daily history of Azenta, Inc.. 6 beat buy-and-hold CAGR; 볼린저 밴드 돌파 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is ADX / DI 방향성 (CAGR 4.6%, MDD -56.7%).
Results by strategy
6 of 10 beat buy and hold (CAGR 3.3%, drawdown -97.1%).
Sharpe leader (same as main): 볼린저 밴드 돌파 — CAGR 8.0%, MDD -67.3%, Sharpe 0.39, 42% exposure.
Return/drawdown alternative: ADX / DI 방향성 — CAGR is 4.7%p higher than buy and hold, while drawdown improves by 29.9%p (CAGR 4.6%, MDD -56.7%, exposure 13%).
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=67, k=0.9 |
8.0% | -67.3% | 0.39 | 0.12 | 11.3x | 157 | 42% |
| EMA 크로스오버 fast=17, slow=61 |
7.9% | -72.6% | 0.39 | 0.11 | 10.9x | 119 | 50% |
| SMA 크로스오버 fast=42, slow=59 |
6.3% | -80.9% | 0.35 | 0.08 | 6.9x | 159 | 51% |
| Donchian 채널 돌파 entryN=59, exitN=64 |
5.0% | -77.6% | 0.32 | 0.06 | 4.6x | 65 | 53% |
| ADX / DI 방향성 period=27, threshold=22 |
4.6% | -56.7% | 0.32 | 0.08 | 4.2x | 88 | 13% |
| Keltner 채널 돌파 emaPeriod=59, atrPeriod=13, mult=3.9 |
4.1% | -59.6% | 0.29 | 0.07 | 3.6x | 64 | 21% |
| ROC 모멘텀 n=55, threshold=0 |
2.3% | -87.7% | 0.25 | 0.03 | 2.0x | 397 | 51% |
| Supertrend period=25, mult=4.4 |
0.8% | -86.7% | 0.22 | 0.01 | 1.3x | 115 | 52% |
| MACD fast=8, slow=51, signal=16 |
-2.0% | -89.3% | 0.16 | -0.02 | 0.5x | 475 | 50% |
| Parabolic SAR step=0.015, maxStep=0.12 |
-3.1% | -90.9% | 0.13 | -0.03 | 0.4x | 545 | 50% |
| Buy and hold | 3.3% | -97.1% | 0.35 | 0.03 | 2.8x | 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 67-day average (0.9× volatility)
- Sell — Sell when the close falls back to the 67-day middle average