Trend-Following Backtester · Guide · backtest 한국어
equity · US
iRhythm Holdings, Inc. backtest
10 trend-following strategies were compared on the full daily history of iRhythm Holdings, Inc.. 4 beat buy-and-hold CAGR; SMA 크로스오버 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is SMA 크로스오버 (CAGR 22.4%, MDD -51.9%).
Results by strategy
4 of 10 beat buy and hold (CAGR 16.6%, drawdown -84.4%).
Sharpe leader (same as main): SMA 크로스오버 — CAGR 22.4%, MDD -51.9%, Sharpe 0.66, 55% exposure.
Return/drawdown alternative: SMA 크로스오버 — CAGR is 5.8%p higher than buy and hold, while drawdown improves by 32.5%p (CAGR 22.4%, MDD -51.9%, exposure 55%).
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=40, slow=85 |
22.4% | -51.9% | 0.66 | 0.43 | 7.3x | 23 | 55% |
| Donchian 채널 돌파 entryN=48, exitN=69 |
21.2% | -57.0% | 0.63 | 0.37 | 6.7x | 16 | 64% |
| EMA 크로스오버 fast=47, slow=63 |
21.0% | -64.8% | 0.63 | 0.32 | 6.6x | 21 | 59% |
| Supertrend period=8, mult=3.8 |
19.0% | -62.5% | 0.61 | 0.30 | 5.6x | 39 | 56% |
| ROC 모멘텀 n=67, threshold=-0.02 |
15.5% | -56.2% | 0.53 | 0.28 | 4.1x | 75 | 61% |
| 볼린저 밴드 돌파 n=26, k=2.8 |
7.4% | -27.3% | 0.39 | 0.27 | 2.0x | 20 | 12% |
| Keltner 채널 돌파 emaPeriod=52, atrPeriod=22, mult=1.5 |
3.9% | -63.4% | 0.28 | 0.06 | 1.5x | 68 | 47% |
| ADX / DI 방향성 period=28, threshold=25 |
4.5% | -33.5% | 0.28 | 0.13 | 1.5x | 18 | 13% |
| Parabolic SAR step=0.025, maxStep=0.16 |
-2.0% | -67.7% | 0.16 | -0.03 | 0.8x | 238 | 54% |
| MACD fast=19, slow=28, signal=18 |
-4.9% | -85.5% | 0.11 | -0.06 | 0.6x | 122 | 51% |
| Buy and hold | 16.6% | -84.4% | 0.55 | 0.20 | 4.5x | 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 40-day average price crosses above the 85-day average
- Sell — Sell (to cash) when the 40-day average falls below the 85-day average