Trend-Following Backtester · Guide · backtest 한국어
equity · US
Privia Health Group, Inc. backtest
10 trend-following strategies were compared on the full daily history of Privia Health Group, Inc.. 3 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 7.4%, MDD -33.1%).
Results by strategy
3 of 10 beat buy and hold (CAGR 0.5%, drawdown -67.3%).
Sharpe leader (same as main): 볼린저 밴드 돌파 — CAGR 7.4%, MDD -33.1%, Sharpe 0.50, 16% exposure.
Return/drawdown alternative: 볼린저 밴드 돌파 — CAGR is 6.9%p higher than buy and hold, while drawdown improves by 34.2%p (CAGR 7.4%, MDD -33.1%, exposure 16%).
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=11, k=2.3 |
7.4% | -33.1% | 0.50 | 0.22 | 1.5x | 32 | 16% |
| Keltner 채널 돌파 emaPeriod=16, atrPeriod=13, mult=1.5 |
3.5% | -40.4% | 0.27 | 0.09 | 1.2x | 34 | 21% |
| SMA 크로스오버 fast=56, slow=105 |
2.2% | -45.6% | 0.22 | 0.05 | 1.1x | 11 | 37% |
| ADX / DI 방향성 period=10, threshold=23 |
0.1% | -49.6% | 0.14 | 0.00 | 1.0x | 76 | 32% |
| Supertrend period=13, mult=2.3 |
-2.3% | -59.6% | 0.09 | -0.04 | 0.9x | 48 | 46% |
| Donchian 채널 돌파 entryN=51, exitN=67 |
-3.0% | -46.4% | 0.05 | -0.06 | 0.9x | 9 | 49% |
| MACD fast=19, slow=53, signal=18 |
-9.0% | -70.4% | -0.13 | -0.13 | 0.6x | 50 | 46% |
| ROC 모멘텀 n=146, threshold=0.1 |
-5.2% | -43.0% | -0.16 | -0.12 | 0.8x | 38 | 23% |
| EMA 크로스오버 fast=39, slow=104 |
-9.8% | -58.1% | -0.32 | -0.17 | 0.6x | 15 | 34% |
| Parabolic SAR step=0.025, maxStep=0.24 |
-16.8% | -80.8% | -0.38 | -0.21 | 0.4x | 136 | 49% |
| Buy and hold | 0.5% | -67.3% | 0.27 | 0.01 | 1.0x | 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 11-day average (2.3× volatility)
- Sell — Sell when the close falls back to the 11-day middle average