Trend-Following Backtester · Guide · backtest 한국어
equity · US
Avita Medical, Inc. backtest
10 trend-following strategies were compared on the full daily history of Avita Medical, Inc.. 7 beat buy-and-hold CAGR; ADX / DI 방향성 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is ADX / DI 방향성 (CAGR 7.5%, MDD -47.0%).
Results by strategy
7 of 10 beat buy and hold (CAGR -11.5%, drawdown -94.1%).
Sharpe leader (same as main): ADX / DI 방향성 — CAGR 7.5%, MDD -47.0%, Sharpe 0.38, 11% exposure.
Return/drawdown alternative: ADX / DI 방향성 — CAGR is 19.0%p higher than buy and hold, while drawdown improves by 47.1%p (CAGR 7.5%, MDD -47.0%, exposure 11%).
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 |
|---|---|---|---|---|---|---|---|
| ADX / DI 방향성 period=33, threshold=20 |
7.5% | -47.0% | 0.38 | 0.16 | 2.8x | 20 | 11% |
| 볼린저 밴드 돌파 n=31, k=3.5 |
6.3% | -49.5% | 0.36 | 0.13 | 2.4x | 20 | 8% |
| SMA 크로스오버 fast=58, slow=215 |
4.6% | -85.0% | 0.32 | 0.05 | 1.9x | 19 | 31% |
| EMA 크로스오버 fast=53, slow=212 |
3.1% | -80.3% | 0.29 | 0.04 | 1.5x | 12 | 28% |
| Keltner 채널 돌파 emaPeriod=33, atrPeriod=16, mult=4 |
4.1% | -54.3% | 0.27 | 0.08 | 1.8x | 30 | 13% |
| ROC 모멘텀 n=142, threshold=0.11 |
1.2% | -78.1% | 0.23 | 0.02 | 1.2x | 115 | 27% |
| Donchian 채널 돌파 entryN=97, exitN=73 |
-2.3% | -66.8% | 0.16 | -0.03 | 0.7x | 20 | 33% |
| Parabolic SAR step=0.03, maxStep=0.18 |
-11.9% | -92.5% | 0.03 | -0.13 | 0.2x | 319 | 43% |
| Supertrend period=13, mult=4.8 |
-12.2% | -87.3% | -0.00 | -0.14 | 0.2x | 57 | 48% |
| MACD fast=11, slow=42, signal=11 |
-13.5% | -87.4% | -0.01 | -0.15 | 0.1x | 254 | 49% |
| Buy and hold | -11.5% | -94.1% | 0.20 | -0.12 | 0.2x | 1 | 100% |
Rules of the top strategy
Looks at both the direction and the strength of the trend; holds only in a strong uptrend.
- Buy — Buy when up-direction (+DI) beats down-direction (−DI) and trend strength (ADX, 33-day) is ≥ 20
- Sell — Sell when direction flips or the trend weakens (ADX < 20)