Trend-Following Backtester · Guide · backtest 한국어
equity · US
Cerus Corporation backtest
10 trend-following strategies were compared on the full daily history of Cerus Corporation. 10 beat buy-and-hold CAGR; Supertrend ranks first by Sharpe, matching the main backtester.
Results by strategy
10 of 10 beat buy and hold (CAGR -5.7%, drawdown -99.3%).
Sharpe leader (same as main): Supertrend — CAGR 8.9%, MDD -90.9%, Sharpe 0.41, 45% exposure.
No strategy retained at least 75% of buy-and-hold CAGR while reducing drawdown by both 20% relatively and 5 percentage points absolutely.
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 |
|---|---|---|---|---|---|---|---|
| Supertrend period=28, mult=2.2 |
8.9% | -90.9% | 0.41 | 0.10 | 12.5x | 268 | 45% |
| Parabolic SAR step=0.005, maxStep=0.38 |
7.8% | -89.1% | 0.39 | 0.09 | 9.1x | 227 | 50% |
| MACD fast=22, slow=28, signal=37 |
6.8% | -81.4% | 0.38 | 0.08 | 6.9x | 242 | 55% |
| ROC 모멘텀 n=149, threshold=0.1 |
4.8% | -85.6% | 0.32 | 0.06 | 4.0x | 255 | 40% |
| 볼린저 밴드 돌파 n=48, k=1.7 |
4.2% | -87.3% | 0.30 | 0.05 | 3.4x | 147 | 35% |
| Donchian 채널 돌파 entryN=114, exitN=72 |
2.2% | -84.7% | 0.26 | 0.03 | 1.9x | 35 | 41% |
| ADX / DI 방향성 period=35, threshold=7 |
0.6% | -91.1% | 0.25 | 0.01 | 1.2x | 319 | 53% |
| SMA 크로스오버 fast=41, slow=186 |
1.1% | -80.6% | 0.25 | 0.01 | 1.4x | 49 | 46% |
| Keltner 채널 돌파 emaPeriod=35, atrPeriod=10, mult=1.9 |
1.9% | -82.7% | 0.23 | 0.02 | 1.7x | 176 | 30% |
| EMA 크로스오버 fast=23, slow=172 |
-2.7% | -93.3% | 0.15 | -0.03 | 0.4x | 61 | 45% |
| Buy and hold | -5.7% | -99.3% | 0.25 | -0.06 | 0.2x | 1 | 100% |
Rules of the top strategy
Trades the direction of a volatility-based trend line that trails below/above price.
- Buy — Buy when price moves above the trend line (flips up) — 28-day volatility, 2.2× band
- Sell — Sell when price drops below the trend line (flips down)