Trend-Following Backtester · Guide · backtest 한국어
equity · US
Certara, Inc. backtest
10 trend-following strategies were compared on the full daily history of Certara, Inc.. 10 beat buy-and-hold CAGR; 볼린저 밴드 돌파 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is 볼린저 밴드 돌파 (CAGR 10.9%, MDD -31.9%).
Results by strategy
10 of 10 beat buy and hold (CAGR -23.5%, drawdown -90.1%).
Sharpe leader (same as main): 볼린저 밴드 돌파 — CAGR 10.9%, MDD -31.9%, Sharpe 0.53, 27% exposure.
Return/drawdown alternative: 볼린저 밴드 돌파 — CAGR is 34.3%p higher than buy and hold, while drawdown improves by 58.2%p (CAGR 10.9%, MDD -31.9%, exposure 27%).
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=56, k=1.7 |
10.9% | -31.9% | 0.53 | 0.34 | 1.8x | 13 | 27% |
| Supertrend period=16, mult=3.8 |
7.0% | -52.7% | 0.37 | 0.13 | 1.5x | 21 | 38% |
| Donchian 채널 돌파 entryN=63, exitN=23 |
1.1% | -48.1% | 0.17 | 0.02 | 1.1x | 15 | 23% |
| Keltner 채널 돌파 emaPeriod=35, atrPeriod=15, mult=1.6 |
0.2% | -34.5% | 0.13 | 0.01 | 1.0x | 29 | 25% |
| ROC 모멘텀 n=56, threshold=0.11 |
-0.2% | -45.7% | 0.11 | -0.00 | 1.0x | 41 | 24% |
| EMA 크로스오버 fast=11, slow=61 |
-3.6% | -56.2% | 0.02 | -0.06 | 0.8x | 23 | 33% |
| SMA 크로스오버 fast=10, slow=73 |
-5.5% | -64.1% | -0.03 | -0.09 | 0.7x | 21 | 34% |
| Parabolic SAR step=0.005, maxStep=0.38 |
-8.2% | -64.5% | -0.04 | -0.13 | 0.6x | 49 | 45% |
| MACD fast=8, slow=27, signal=10 |
-13.7% | -72.2% | -0.18 | -0.19 | 0.4x | 108 | 54% |
| ADX / DI 방향성 period=16, threshold=15 |
-13.5% | -67.6% | -0.41 | -0.20 | 0.4x | 84 | 30% |
| Buy and hold | -23.5% | -90.1% | -0.19 | -0.26 | 0.2x | 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 56-day average (1.7× volatility)
- Sell — Sell when the close falls back to the 56-day middle average