Trend-Following Backtester · Guide · backtest 한국어
equity · US
Natera, Inc. backtest
10 trend-following strategies were compared on the full daily history of Natera, Inc.. 5 beat buy-and-hold CAGR; 볼린저 밴드 돌파 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is Supertrend (CAGR 30.9%, MDD -51.5%).
Results by strategy
5 of 10 beat buy and hold (CAGR 27.5%, drawdown -77.7%).
Sharpe leader (same as main): 볼린저 밴드 돌파 — CAGR 33.2%, MDD -52.2%, Sharpe 0.95, 54% exposure.
Return/drawdown alternative: Supertrend — CAGR is 5.7%p higher than buy and hold, while drawdown improves by 25.6%p (CAGR 30.9%, MDD -51.5%, exposure 60%).
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=52, k=0.9 |
33.2% | -52.2% | 0.95 | 0.64 | 24.0x | 63 | 54% |
| EMA 크로스오버 fast=14, slow=20 |
31.3% | -58.1% | 0.87 | 0.54 | 20.4x | 77 | 60% |
| Supertrend period=24, mult=4.2 |
30.9% | -51.5% | 0.87 | 0.60 | 19.8x | 37 | 60% |
| ADX / DI 방향성 period=26, threshold=12 |
27.4% | -58.2% | 0.84 | 0.47 | 14.6x | 101 | 51% |
| ROC 모멘텀 n=81, threshold=-0.03 |
29.5% | -67.1% | 0.81 | 0.44 | 17.5x | 103 | 65% |
| SMA 크로스오버 fast=36, slow=99 |
27.6% | -56.1% | 0.81 | 0.49 | 14.9x | 27 | 58% |
| Donchian 채널 돌파 entryN=38, exitN=37 |
26.6% | -50.0% | 0.78 | 0.53 | 13.6x | 31 | 63% |
| Keltner 채널 돌파 emaPeriod=46, atrPeriod=16, mult=1.1 |
23.9% | -54.4% | 0.77 | 0.44 | 10.7x | 85 | 53% |
| Parabolic SAR step=0.02, maxStep=0.36 |
23.1% | -52.6% | 0.71 | 0.44 | 10.0x | 241 | 55% |
| MACD fast=6, slow=58, signal=10 |
16.1% | -64.8% | 0.57 | 0.25 | 5.2x | 218 | 51% |
| Buy and hold | 27.5% | -77.7% | 0.70 | 0.35 | 14.8x | 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 52-day average (0.9× volatility)
- Sell — Sell when the close falls back to the 52-day middle average