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.. 2 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 9.0%, MDD -54.6%).
Results by strategy
2 of 10 beat buy and hold (CAGR 8.9%, 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 10.4%, MDD -65.0%, exposure 47%.
Return/drawdown alternative: 볼린저 밴드 돌파 — CAGR is 4.7%p lower than buy and hold, while drawdown improves by 74.2%p (CAGR 9.0%, MDD -54.6%, 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 |
10.4% | -65.0% | 0.48 | 0.16 | 4.6x | 37 | 47% |
| 볼린저 밴드 돌파 n=52, k=1.9 |
9.0% | -54.6% | 0.46 | 0.17 | 3.8x | 61 | 33% |
| Parabolic SAR step=0.02, maxStep=0.08 |
8.1% | -76.2% | 0.40 | 0.11 | 3.3x | 261 | 51% |
| Donchian 채널 돌파 entryN=100, exitN=44 |
6.9% | -64.2% | 0.40 | 0.11 | 2.8x | 22 | 31% |
| Supertrend period=10, mult=3.6 |
7.8% | -65.2% | 0.39 | 0.12 | 3.2x | 71 | 53% |
| ROC 모멘텀 n=136, threshold=0.21 |
5.8% | -69.4% | 0.35 | 0.08 | 2.4x | 85 | 30% |
| SMA 크로스오버 fast=9, slow=87 |
5.7% | -66.4% | 0.33 | 0.09 | 2.4x | 65 | 50% |
| MACD fast=17, slow=36, signal=11 |
4.9% | -81.2% | 0.32 | 0.06 | 2.1x | 217 | 49% |
| ADX / DI 방향성 period=20, threshold=27 |
2.6% | -37.4% | 0.24 | 0.07 | 1.5x | 55 | 12% |
| Buy and hold | 8.9% | -90.2% | 0.43 | 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