Trend-Following Backtester · Guide · backtest 한국어
equity · US
Integra LifeSciences Holdings Corporation backtest
10 trend-following strategies were compared on the full daily history of Integra LifeSciences Holdings Corporation. 3 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 6.5%, MDD -40.8%).
Results by strategy
3 of 10 beat buy and hold (CAGR 4.5%, drawdown -88.4%).
Sharpe leader (same as main): 볼린저 밴드 돌파 — CAGR 6.5%, MDD -40.8%, Sharpe 0.39, 16% exposure.
Return/drawdown alternative: 볼린저 밴드 돌파 — CAGR is 1.9%p higher than buy and hold, while drawdown improves by 47.6%p (CAGR 6.5%, MDD -40.8%, exposure 16%).
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=32, k=2.9 |
6.5% | -40.8% | 0.39 | 0.16 | 7.0x | 68 | 16% |
| Donchian 채널 돌파 entryN=42, exitN=92 |
5.9% | -78.3% | 0.34 | 0.08 | 5.9x | 49 | 70% |
| Keltner 채널 돌파 emaPeriod=31, atrPeriod=22, mult=3.2 |
4.9% | -44.8% | 0.32 | 0.11 | 4.3x | 70 | 16% |
| SMA 크로스오버 fast=44, slow=61 |
4.4% | -80.5% | 0.30 | 0.05 | 3.8x | 163 | 53% |
| EMA 크로스오버 fast=26, slow=212 |
3.7% | -67.4% | 0.27 | 0.05 | 3.1x | 49 | 57% |
| ADX / DI 방향성 period=16, threshold=24 |
0.6% | -64.9% | 0.15 | 0.01 | 1.2x | 192 | 21% |
| ROC 모멘텀 n=83, threshold=-0.01 |
-0.9% | -85.4% | 0.14 | -0.01 | 0.8x | 359 | 58% |
| MACD fast=29, slow=44, signal=16 |
-1.1% | -86.9% | 0.14 | -0.01 | 0.7x | 302 | 49% |
| Supertrend period=8, mult=4.2 |
-1.6% | -88.6% | 0.14 | -0.02 | 0.6x | 115 | 52% |
| Parabolic SAR step=0.025, maxStep=0.36 |
-2.3% | -95.9% | 0.11 | -0.02 | 0.5x | 758 | 51% |
| Buy and hold | 4.5% | -88.4% | 0.34 | 0.05 | 4.0x | 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 32-day average (2.9× volatility)
- Sell — Sell when the close falls back to the 32-day middle average