Trend-Following Backtester · Guide · backtest 한국어
equity · US
DexCom, Inc. backtest
10 trend-following strategies were compared on the full daily history of DexCom, Inc.. 2 beat buy-and-hold CAGR; SMA 크로스오버 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is Supertrend (CAGR 17.4%, MDD -62.8%).
Results by strategy
2 of 10 beat buy and hold (CAGR 17.4%, drawdown -94.6%).
Sharpe leader (same as main): SMA 크로스오버 — CAGR 18.4%, MDD -68.0%, Sharpe 0.65, 61% exposure.
Return/drawdown alternative: Supertrend — CAGR is 1.0%p higher than buy and hold, while drawdown improves by 26.6%p (CAGR 17.4%, MDD -62.8%, exposure 60%).
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 |
|---|---|---|---|---|---|---|---|
| SMA 크로스오버 fast=36, slow=154 |
18.4% | -68.0% | 0.65 | 0.27 | 36.9x | 33 | 61% |
| Supertrend period=9, mult=2.6 |
17.4% | -62.8% | 0.62 | 0.28 | 31.0x | 167 | 60% |
| EMA 크로스오버 fast=56, slow=190 |
16.6% | -61.0% | 0.61 | 0.27 | 26.5x | 23 | 58% |
| Donchian 채널 돌파 entryN=86, exitN=59 |
15.6% | -56.8% | 0.61 | 0.27 | 22.0x | 33 | 49% |
| 볼린저 밴드 돌파 n=71, k=2.7 |
10.1% | -48.0% | 0.55 | 0.21 | 7.8x | 37 | 27% |
| ROC 모멘텀 n=107, threshold=0.13 |
13.2% | -52.2% | 0.55 | 0.25 | 14.2x | 159 | 46% |
| MACD fast=13, slow=28, signal=16 |
11.1% | -69.9% | 0.47 | 0.16 | 9.5x | 316 | 50% |
| Parabolic SAR step=0.015, maxStep=0.18 |
8.8% | -63.1% | 0.41 | 0.14 | 6.1x | 380 | 54% |
| Keltner 채널 돌파 emaPeriod=59, atrPeriod=13, mult=2.9 |
5.9% | -48.1% | 0.35 | 0.12 | 3.4x | 85 | 39% |
| ADX / DI 방향성 period=35, threshold=19 |
2.5% | -56.3% | 0.22 | 0.04 | 1.7x | 66 | 19% |
| Buy and hold | 17.4% | -94.6% | 0.57 | 0.18 | 30.8x | 1 | 100% |
Rules of the top strategy
When the short average rises above the long average, it reads that as an uptrend starting.
- Buy — Buy when the 36-day average price crosses above the 154-day average
- Sell — Sell (to cash) when the 36-day average falls below the 154-day average