Trend-Following Backtester · Guide · backtest 한국어
equity · US
Pacira BioSciences, Inc. backtest
10 trend-following strategies were compared on the full daily history of Pacira BioSciences, Inc.. 1 beat buy-and-hold CAGR; Keltner 채널 돌파 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is 볼린저 밴드 돌파 (CAGR 8.4%, MDD -58.2%).
Results by strategy
1 of 10 beat buy and hold (CAGR 8.7%, drawdown -90.2%).
Sharpe leader (same as main): Keltner 채널 돌파 — CAGR 4.2%, MDD -16.0%, Sharpe 0.50, 2% exposure.
CAGR reference leader: EMA 크로스오버 — CAGR 10.2%, MDD -66.1%, exposure 47%.
Return/drawdown alternative: 볼린저 밴드 돌파 — CAGR is 4.5%p lower than buy and hold, while drawdown improves by 74.2%p (CAGR 8.4%, MDD -58.2%, exposure 33%).
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 |
|---|---|---|---|---|---|---|---|
| Keltner 채널 돌파 emaPeriod=14, atrPeriod=22, mult=3.7 |
4.2% | -16.0% | 0.50 | 0.26 | 1.9x | 8 | 2% |
| EMA 크로스오버 fast=9, slow=194 |
10.2% | -66.1% | 0.48 | 0.15 | 4.5x | 37 | 47% |
| 볼린저 밴드 돌파 n=52, k=1.9 |
8.4% | -58.2% | 0.44 | 0.14 | 3.5x | 62 | 33% |
| Parabolic SAR step=0.02, maxStep=0.08 |
7.6% | -76.2% | 0.39 | 0.10 | 3.1x | 263 | 51% |
| Donchian 채널 돌파 entryN=100, exitN=44 |
6.4% | -68.2% | 0.38 | 0.09 | 2.6x | 23 | 31% |
| Supertrend period=10, mult=3.6 |
7.0% | -67.2% | 0.37 | 0.10 | 2.9x | 72 | 53% |
| ROC 모멘텀 n=136, threshold=0.21 |
5.2% | -72.1% | 0.33 | 0.07 | 2.2x | 92 | 30% |
| MACD fast=17, slow=36, signal=11 |
4.4% | -81.2% | 0.31 | 0.05 | 2.0x | 219 | 49% |
| SMA 크로스오버 fast=9, slow=87 |
4.7% | -66.8% | 0.30 | 0.07 | 2.1x | 67 | 50% |
| ADX / DI 방향성 period=20, threshold=27 |
2.1% | -37.4% | 0.21 | 0.06 | 1.4x | 56 | 12% |
| Buy and hold | 8.7% | -90.2% | 0.42 | 0.10 | 3.7x | 1 | 100% |
Rules of the top strategy
Breaking above the channel top (average plus a multiple of volatility) signals an upside breakout.
- Buy — Buy when the close breaks above the 14-day average + 3.7× volatility (Keltner top)
- Sell — Sell when the close falls back to the 14-day average