Trend-Following Backtester · Guide · backtest 한국어
equity · US
OrthoPediatrics Corp. backtest
10 trend-following strategies were compared on the full daily history of OrthoPediatrics Corp.. 4 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 3.7%, MDD -11.2%).
Results by strategy
4 of 10 beat buy and hold (CAGR 0.8%, drawdown -79.9%).
Sharpe leader (same as main): 볼린저 밴드 돌파 — CAGR 3.7%, MDD -11.2%, Sharpe 0.43, 3% exposure.
CAGR reference leader: EMA 크로스오버 — CAGR 7.1%, MDD -39.3%, exposure 37%.
Return/drawdown alternative: 볼린저 밴드 돌파 — CAGR is 3.0%p higher than buy and hold, while drawdown improves by 68.7%p (CAGR 3.7%, MDD -11.2%, exposure 3%).
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=24, k=3.5 |
3.7% | -11.2% | 0.43 | 0.33 | 1.4x | 4 | 3% |
| EMA 크로스오버 fast=100, slow=272 |
7.1% | -39.3% | 0.38 | 0.18 | 1.8x | 2 | 37% |
| SMA 크로스오버 fast=36, slow=112 |
4.0% | -57.0% | 0.28 | 0.07 | 1.4x | 21 | 42% |
| ADX / DI 방향성 period=39, threshold=19 |
0.9% | -21.7% | 0.14 | 0.04 | 1.1x | 6 | 6% |
| Donchian 채널 돌파 entryN=93, exitN=36 |
0.5% | -50.7% | 0.14 | 0.01 | 1.0x | 11 | 25% |
| Keltner 채널 돌파 emaPeriod=28, atrPeriod=21, mult=3.5 |
0.1% | -17.8% | 0.06 | 0.01 | 1.0x | 4 | 2% |
| MACD fast=6, slow=16, signal=11 |
-6.5% | -64.8% | -0.01 | -0.10 | 0.6x | 227 | 50% |
| ROC 모멘텀 n=145, threshold=0.01 |
-6.9% | -81.5% | -0.06 | -0.08 | 0.5x | 85 | 44% |
| Supertrend period=20, mult=1.5 |
-8.1% | -71.5% | -0.06 | -0.11 | 0.5x | 142 | 51% |
| Parabolic SAR step=0.025, maxStep=0.28 |
-11.7% | -79.8% | -0.17 | -0.15 | 0.3x | 231 | 50% |
| Buy and hold | 0.8% | -79.9% | 0.26 | 0.01 | 1.1x | 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 24-day average (3.5× volatility)
- Sell — Sell when the close falls back to the 24-day middle average