Trend-Following Backtester · Guide · backtest 한국어
equity · US
Orthofix Medical Inc. backtest
10 trend-following strategies were compared on the full daily history of Orthofix Medical Inc.. 3 beat buy-and-hold CAGR; SMA 크로스오버 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is EMA 크로스오버 (CAGR 1.7%, MDD -64.6%).
Results by strategy
3 of 10 beat buy and hold (CAGR 0.3%, drawdown -86.8%).
Sharpe leader (same as main): SMA 크로스오버 — CAGR 4.2%, MDD -76.6%, Sharpe 0.29, 54% exposure.
Return/drawdown alternative: EMA 크로스오버 — CAGR is 3.9%p higher than buy and hold, while drawdown improves by 10.2%p (CAGR 1.7%, MDD -64.6%, exposure 52%).
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 |
|---|---|---|---|---|---|---|---|
| SMA 크로스오버 fast=48, slow=134 |
4.2% | -76.6% | 0.29 | 0.05 | 4.1x | 64 | 54% |
| Donchian 채널 돌파 entryN=28, exitN=64 |
2.5% | -75.0% | 0.25 | 0.03 | 2.3x | 75 | 70% |
| EMA 크로스오버 fast=30, slow=183 |
1.7% | -64.6% | 0.21 | 0.03 | 1.8x | 50 | 52% |
| Supertrend period=25, mult=4.5 |
-0.4% | -74.8% | 0.13 | -0.01 | 0.9x | 99 | 52% |
| ADX / DI 방향성 period=31, threshold=34 |
0.2% | -39.6% | 0.08 | 0.01 | 1.1x | 22 | 6% |
| ROC 모멘텀 n=144, threshold=0.02 |
-3.8% | -82.2% | 0.02 | -0.05 | 0.3x | 310 | 52% |
| Keltner 채널 돌파 emaPeriod=47, atrPeriod=9, mult=4 |
-0.8% | -55.4% | -0.02 | -0.01 | 0.8x | 38 | 9% |
| 볼린저 밴드 돌파 n=31, k=2.7 |
-2.5% | -77.5% | -0.07 | -0.03 | 0.4x | 119 | 18% |
| Parabolic SAR step=0.015, maxStep=0.14 |
-8.2% | -96.5% | -0.11 | -0.08 | 0.1x | 561 | 52% |
| MACD fast=18, slow=28, signal=19 |
-11.6% | -99.2% | -0.23 | -0.12 | 0.0x | 463 | 51% |
| Buy and hold | 0.3% | -86.8% | 0.24 | 0.00 | 1.1x | 1 | 100% |
Rules of the top strategy
When the short average rises above the long average, it reads that as an uptrend starting.
- Buy — Buy when the 48-day average price crosses above the 134-day average
- Sell — Sell (to cash) when the 48-day average falls below the 134-day average