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 4.5%, MDD -56.7%).
Results by strategy
6 of 10 beat buy and hold (CAGR 3.8%, drawdown -97.1%).
Sharpe leader (same as main): 볼린저 밴드 돌파 — CAGR 8.5%, MDD -67.3%, Sharpe 0.41, 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 4.5%, 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 |
8.5% | -67.3% | 0.41 | 0.13 | 13.1x | 157 | 42% |
| EMA 크로스오버 fast=17, slow=61 |
8.4% | -72.6% | 0.40 | 0.12 | 12.6x | 119 | 50% |
| SMA 크로스오버 fast=42, slow=59 |
6.8% | -80.9% | 0.36 | 0.08 | 8.0x | 159 | 51% |
| Donchian 채널 돌파 entryN=59, exitN=64 |
5.4% | -77.6% | 0.33 | 0.07 | 5.3x | 65 | 53% |
| ADX / DI 방향성 period=27, threshold=22 |
4.5% | -56.7% | 0.31 | 0.08 | 4.1x | 89 | 13% |
| Keltner 채널 돌파 emaPeriod=59, atrPeriod=13, mult=3.9 |
4.2% | -61.2% | 0.29 | 0.07 | 3.7x | 65 | 21% |
| ROC 모멘텀 n=55, threshold=0 |
2.8% | -87.7% | 0.27 | 0.03 | 2.4x | 397 | 51% |
| Supertrend period=25, mult=4.4 |
1.3% | -86.7% | 0.23 | 0.01 | 1.5x | 115 | 52% |
| MACD fast=8, slow=51, signal=16 |
-1.4% | -89.3% | 0.17 | -0.02 | 0.6x | 476 | 50% |
| Parabolic SAR step=0.015, maxStep=0.12 |
-2.7% | -90.9% | 0.14 | -0.03 | 0.4x | 546 | 51% |
| Buy and hold | 3.8% | -97.1% | 0.36 | 0.04 | 3.3x | 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