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.. 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 3.7%, MDD -11.2%).
Results by strategy
3 of 10 beat buy and hold (CAGR 1.9%, 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: SMA 크로스오버 — CAGR 6.5%, MDD -51.1%, exposure 43%.
Return/drawdown alternative: 볼린저 밴드 돌파 — CAGR is 1.8%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% |
| SMA 크로스오버 fast=40, slow=125 |
6.5% | -51.1% | 0.36 | 0.13 | 1.8x | 19 | 43% |
| EMA 크로스오버 fast=94, slow=194 |
6.3% | -38.0% | 0.35 | 0.17 | 1.7x | 3 | 41% |
| ADX / DI 방향성 period=39, threshold=21 |
1.7% | -15.8% | 0.27 | 0.10 | 1.2x | 4 | 4% |
| Donchian 채널 돌파 entryN=90, exitN=74 |
1.7% | -55.4% | 0.20 | 0.03 | 1.2x | 9 | 38% |
| ROC 모멘텀 n=146, threshold=-0.04 |
-4.1% | -78.9% | 0.06 | -0.05 | 0.7x | 85 | 51% |
| MACD fast=9, slow=22, signal=10 |
-4.2% | -58.6% | 0.05 | -0.07 | 0.7x | 191 | 49% |
| Keltner 채널 돌파 emaPeriod=18, atrPeriod=18, mult=2.9 |
0.0% | -18.5% | 0.05 | 0.00 | 1.0x | 6 | 3% |
| Supertrend period=9, mult=1.7 |
-4.8% | -59.4% | 0.03 | -0.08 | 0.6x | 123 | 51% |
| Parabolic SAR step=0.03, maxStep=0.16 |
-7.4% | -66.1% | -0.05 | -0.11 | 0.5x | 248 | 50% |
| Buy and hold | 1.9% | -79.9% | 0.28 | 0.02 | 1.2x | 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