Trend-Following Backtester · Guide · backtest 한국어
equity · US
CryoPort, Inc. backtest
10 trend-following strategies were compared on the full daily history of CryoPort, Inc.. 10 beat buy-and-hold CAGR; 볼린저 밴드 돌파 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is Donchian 채널 돌파 (CAGR 9.2%, MDD -58.8%).
Results by strategy
10 of 10 beat buy and hold (CAGR -17.0%, drawdown -99.9%).
Sharpe leader (same as main): 볼린저 밴드 돌파 — CAGR 9.5%, MDD -80.6%, Sharpe 0.36, 22% exposure.
CAGR reference leader: ADX / DI 방향성 — CAGR 10.2%, MDD -81.3%, exposure 19%.
Return/drawdown alternative: Donchian 채널 돌파 — CAGR is 26.6%p higher than buy and hold, while drawdown improves by 19.3%p (CAGR 9.2%, MDD -58.8%, exposure 15%).
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=34, k=2.3 |
9.5% | -80.6% | 0.36 | 0.12 | 6.7x | 88 | 22% |
| ADX / DI 방향성 period=11, threshold=29 |
10.2% | -81.3% | 0.35 | 0.13 | 7.6x | 166 | 19% |
| SMA 크로스오버 fast=22, slow=44 |
4.6% | -98.2% | 0.35 | 0.05 | 2.6x | 127 | 44% |
| Supertrend period=6, mult=4.6 |
-2.1% | -98.7% | 0.33 | -0.02 | 0.6x | 65 | 55% |
| Donchian 채널 돌파 entryN=58, exitN=7 |
9.2% | -58.8% | 0.32 | 0.16 | 6.3x | 82 | 15% |
| Parabolic SAR step=0.015, maxStep=0.24 |
-2.8% | -93.6% | 0.30 | -0.03 | 0.6x | 316 | 45% |
| Keltner 채널 돌파 emaPeriod=26, atrPeriod=17, mult=1.9 |
1.4% | -96.5% | 0.25 | 0.01 | 1.3x | 110 | 22% |
| MACD fast=20, slow=48, signal=17 |
-15.2% | -99.3% | 0.24 | -0.15 | 0.0x | 232 | 53% |
| EMA 크로스오버 fast=14, slow=45 |
-4.9% | -97.6% | 0.24 | -0.05 | 0.4x | 117 | 43% |
| ROC 모멘텀 n=39, threshold=0.1 |
-9.6% | -99.3% | 0.16 | -0.10 | 0.1x | 306 | 34% |
| Buy and hold | -17.0% | -99.9% | 0.40 | -0.17 | 0.0x | 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 34-day average (2.3× volatility)
- Sell — Sell when the close falls back to the 34-day middle average