Trend-Following Backtester · Guide · backtest 한국어
equity · US
Maravai LifeSciences Holdings, Inc. backtest
10 trend-following strategies were compared on the full daily history of Maravai LifeSciences Holdings, Inc.. 9 beat buy-and-hold CAGR; ADX / DI 방향성 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is ADX / DI 방향성 (CAGR 4.8%, MDD -9.9%).
Results by strategy
9 of 10 beat buy and hold (CAGR -23.4%, drawdown -97.2%).
Sharpe leader (same as main): ADX / DI 방향성 — CAGR 4.8%, MDD -9.9%, Sharpe 0.65, 2% exposure.
CAGR reference leader: Supertrend — CAGR 18.1%, MDD -57.9%, exposure 46%.
Return/drawdown alternative: ADX / DI 방향성 — CAGR is 28.2%p higher than buy and hold, while drawdown improves by 87.3%p (CAGR 4.8%, MDD -9.9%, exposure 2%).
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 |
|---|---|---|---|---|---|---|---|
| ADX / DI 방향성 period=27, threshold=29 |
4.8% | -9.9% | 0.65 | 0.48 | 1.3x | 3 | 2% |
| Donchian 채널 돌파 entryN=58, exitN=8 |
11.6% | -25.5% | 0.61 | 0.45 | 1.9x | 14 | 12% |
| Supertrend period=15, mult=5 |
18.1% | -57.9% | 0.56 | 0.31 | 2.6x | 11 | 46% |
| SMA 크로스오버 fast=45, slow=107 |
12.4% | -51.8% | 0.50 | 0.24 | 1.9x | 13 | 36% |
| EMA 크로스오버 fast=53, slow=71 |
9.1% | -53.3% | 0.42 | 0.17 | 1.6x | 9 | 33% |
| 볼린저 밴드 돌파 n=20, k=2.6 |
6.6% | -34.8% | 0.39 | 0.19 | 1.4x | 19 | 15% |
| ROC 모멘텀 n=64, threshold=-0.01 |
4.1% | -71.0% | 0.30 | 0.06 | 1.3x | 55 | 42% |
| Keltner 채널 돌파 emaPeriod=23, atrPeriod=12, mult=3.1 |
3.2% | -41.3% | 0.27 | 0.08 | 1.2x | 7 | 9% |
| MACD fast=9, slow=24, signal=8 |
-22.0% | -93.5% | -0.17 | -0.23 | 0.2x | 128 | 50% |
| Parabolic SAR step=0.025, maxStep=0.22 |
-24.8% | -94.4% | -0.34 | -0.26 | 0.2x | 128 | 49% |
| Buy and hold | -23.4% | -97.2% | -0.01 | -0.24 | 0.2x | 1 | 100% |
Rules of the top strategy
Looks at both the direction and the strength of the trend; holds only in a strong uptrend.
- Buy — Buy when up-direction (+DI) beats down-direction (−DI) and trend strength (ADX, 27-day) is ≥ 29
- Sell — Sell when direction flips or the trend weakens (ADX < 29)