Trend-Following Backtester · Guide · backtest 한국어
equity · US
Cytek Biosciences, Inc. backtest
10 trend-following strategies were compared on the full daily history of Cytek Biosciences, Inc.. 10 beat buy-and-hold CAGR; ADX / DI 방향성 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is ADX / DI 방향성 (CAGR 7.5%, MDD -16.4%).
Results by strategy
10 of 10 beat buy and hold (CAGR -25.8%, drawdown -91.3%).
Sharpe leader (same as main): ADX / DI 방향성 — CAGR 7.5%, MDD -16.4%, Sharpe 0.67, 4% exposure.
CAGR reference leader: 볼린저 밴드 돌파 — CAGR 10.5%, MDD -37.7%, exposure 14%.
Return/drawdown alternative: ADX / DI 방향성 — CAGR is 33.3%p higher than buy and hold, while drawdown improves by 74.9%p (CAGR 7.5%, MDD -16.4%, exposure 4%).
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 |
|---|---|---|---|---|---|---|---|
| ADX / DI 방향성 period=24, threshold=31 |
7.5% | -16.4% | 0.67 | 0.46 | 1.4x | 4 | 4% |
| 볼린저 밴드 돌파 n=10, k=2.2 |
10.5% | -37.7% | 0.50 | 0.28 | 1.7x | 36 | 14% |
| Parabolic SAR step=0.03, maxStep=0.14 |
1.6% | -58.9% | 0.26 | 0.03 | 1.1x | 126 | 46% |
| Supertrend period=18, mult=2.3 |
-6.2% | -67.7% | 0.06 | -0.09 | 0.7x | 43 | 40% |
| Keltner 채널 돌파 emaPeriod=34, atrPeriod=7, mult=3.1 |
-0.8% | -32.9% | 0.01 | -0.02 | 1.0x | 6 | 6% |
| ROC 모멘텀 n=55, threshold=0.09 |
-5.3% | -50.3% | -0.01 | -0.11 | 0.8x | 40 | 26% |
| Donchian 채널 돌파 entryN=73, exitN=46 |
-6.3% | -58.8% | -0.03 | -0.11 | 0.7x | 8 | 26% |
| SMA 크로스오버 fast=30, slow=89 |
-9.8% | -63.9% | -0.12 | -0.15 | 0.6x | 13 | 31% |
| EMA 크로스오버 fast=42, slow=54 |
-12.0% | -59.5% | -0.19 | -0.20 | 0.5x | 11 | 32% |
| MACD fast=13, slow=48, signal=12 |
-18.3% | -75.9% | -0.20 | -0.24 | 0.4x | 78 | 50% |
| Buy and hold | -25.8% | -91.3% | -0.14 | -0.28 | 0.2x | 1 | 100% |
Rules of the top strategy
Looks at both the direction and the strength of the trend; holds only in a strong uptrend.
- Buy — Buy when up-direction (+DI) beats down-direction (−DI) and trend strength (ADX, 24-day) is ≥ 31
- Sell — Sell when direction flips or the trend weakens (ADX < 31)