Trend-Following Backtester · Guide · backtest 한국어
equity · US
Myriad Genetics, Inc. backtest
10 trend-following strategies were compared on the full daily history of Myriad Genetics, Inc.. 10 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 7.8%, MDD -62.2%).
Results by strategy
10 of 10 beat buy and hold (CAGR -2.0%, drawdown -95.5%).
Sharpe leader (same as main): 볼린저 밴드 돌파 — CAGR 7.8%, MDD -62.2%, Sharpe 0.47, 7% exposure.
Return/drawdown alternative: 볼린저 밴드 돌파 — CAGR is 9.8%p higher than buy and hold, while drawdown improves by 33.4%p (CAGR 7.8%, MDD -62.2%, exposure 7%).
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=28, k=3.5 |
7.8% | -62.2% | 0.47 | 0.13 | 10.1x | 32 | 7% |
| Keltner 채널 돌파 emaPeriod=23, atrPeriod=28, mult=4 |
6.8% | -65.4% | 0.41 | 0.10 | 7.6x | 40 | 8% |
| ADX / DI 방향성 period=39, threshold=36 |
4.7% | -69.2% | 0.36 | 0.07 | 4.1x | 6 | 2% |
| Donchian 채널 돌파 entryN=26, exitN=10 |
6.3% | -83.2% | 0.35 | 0.08 | 6.5x | 186 | 35% |
| SMA 크로스오버 fast=59, slow=152 |
5.2% | -81.9% | 0.33 | 0.06 | 4.8x | 56 | 48% |
| EMA 크로스오버 fast=77, slow=197 |
3.3% | -81.9% | 0.28 | 0.04 | 2.8x | 38 | 46% |
| Supertrend period=9, mult=4.4 |
1.9% | -85.5% | 0.27 | 0.02 | 1.8x | 109 | 50% |
| MACD fast=20, slow=70, signal=18 |
1.2% | -95.6% | 0.26 | 0.01 | 1.4x | 270 | 52% |
| Parabolic SAR step=0.005, maxStep=0.14 |
2.0% | -88.4% | 0.26 | 0.02 | 1.8x | 252 | 47% |
| ROC 모멘텀 n=127, threshold=0.11 |
-1.3% | -96.2% | 0.16 | -0.01 | 0.7x | 250 | 37% |
| Buy and hold | -2.0% | -95.5% | 0.29 | -0.02 | 0.5x | 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 28-day average (3.5× volatility)
- Sell — Sell when the close falls back to the 28-day middle average