Trend-Following Backtester · Guide · backtest 한국어
equity · US
ICU Medical, Inc. backtest
10 trend-following strategies were compared on the full daily history of ICU Medical, Inc.. 0 beat buy-and-hold CAGR; SMA 크로스오버 ranks first by Sharpe, matching the main backtester.
Results by strategy
0 of 10 beat buy and hold (CAGR 11.0%, drawdown -73.8%).
Sharpe leader (same as main): SMA 크로스오버 — CAGR 6.1%, MDD -67.7%, Sharpe 0.34, 57% exposure.
No strategy retained at least 75% of buy-and-hold CAGR while reducing drawdown by both 20% relatively and 5 percentage points absolutely.
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=57, slow=144 |
6.1% | -67.7% | 0.34 | 0.09 | 7.6x | 61 | 57% |
| Donchian 채널 돌파 entryN=17, exitN=76 |
5.8% | -73.1% | 0.34 | 0.08 | 6.9x | 89 | 80% |
| MACD fast=24, slow=92, signal=68 |
3.5% | -72.6% | 0.27 | 0.05 | 3.3x | 185 | 52% |
| Supertrend period=26, mult=4.2 |
3.0% | -73.3% | 0.25 | 0.04 | 2.7x | 121 | 56% |
| ADX / DI 방향성 period=43, threshold=15 |
2.5% | -62.9% | 0.22 | 0.04 | 2.3x | 107 | 25% |
| EMA 크로스오버 fast=57, slow=78 |
1.7% | -76.8% | 0.21 | 0.02 | 1.8x | 83 | 58% |
| ROC 모멘텀 n=117, threshold=-0.02 |
1.2% | -90.7% | 0.20 | 0.01 | 1.5x | 341 | 62% |
| 볼린저 밴드 돌파 n=70, k=3.2 |
1.8% | -43.8% | 0.19 | 0.04 | 1.9x | 44 | 18% |
| Keltner 채널 돌파 emaPeriod=56, atrPeriod=15, mult=2.9 |
1.0% | -64.5% | 0.16 | 0.02 | 1.4x | 101 | 30% |
| Parabolic SAR step=0.03, maxStep=0.38 |
-9.7% | -98.9% | -0.20 | -0.10 | 0.0x | 949 | 52% |
| Buy and hold | 11.0% | -73.8% | 0.46 | 0.15 | 36.3x | 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 57-day average price crosses above the 144-day average
- Sell — Sell (to cash) when the 57-day average falls below the 144-day average