Trend-Following Backtester · Guide · backtest 한국어
equity · US
CorMedix Inc. backtest
10 trend-following strategies were compared on the full daily history of CorMedix 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 21.6%, MDD -67.1%).
Results by strategy
10 of 10 beat buy and hold (CAGR -4.2%, drawdown -98.3%).
Sharpe leader (same as main): 볼린저 밴드 돌파 — CAGR 21.6%, MDD -67.1%, Sharpe 0.64, 19% exposure.
Return/drawdown alternative: 볼린저 밴드 돌파 — CAGR is 25.8%p higher than buy and hold, while drawdown improves by 31.2%p (CAGR 21.6%, MDD -67.1%, exposure 19%).
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=13, k=2.4 |
21.6% | -67.1% | 0.64 | 0.32 | 23.7x | 122 | 19% |
| Keltner 채널 돌파 emaPeriod=29, atrPeriod=22, mult=1.7 |
19.9% | -92.9% | 0.60 | 0.21 | 18.9x | 96 | 27% |
| SMA 크로스오버 fast=23, slow=55 |
19.7% | -90.0% | 0.60 | 0.22 | 18.4x | 78 | 44% |
| MACD fast=11, slow=41, signal=18 |
16.1% | -81.1% | 0.57 | 0.20 | 11.2x | 186 | 52% |
| Supertrend period=25, mult=2.5 |
15.0% | -82.2% | 0.54 | 0.18 | 9.7x | 128 | 42% |
| ROC 모멘텀 n=46, threshold=0.02 |
13.0% | -86.7% | 0.52 | 0.15 | 7.2x | 234 | 43% |
| Donchian 채널 돌파 entryN=18, exitN=53 |
8.3% | -90.6% | 0.50 | 0.09 | 3.6x | 52 | 67% |
| Parabolic SAR step=0.02, maxStep=0.2 |
11.0% | -89.6% | 0.50 | 0.12 | 5.5x | 280 | 43% |
| ADX / DI 방향성 period=18, threshold=10 |
7.9% | -93.3% | 0.47 | 0.08 | 3.4x | 260 | 49% |
| EMA 크로스오버 fast=10, slow=70 |
7.5% | -85.2% | 0.44 | 0.09 | 3.2x | 78 | 42% |
| Buy and hold | -4.2% | -98.3% | 0.45 | -0.04 | 0.5x | 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 13-day average (2.4× volatility)
- Sell — Sell when the close falls back to the 13-day middle average