Trend-Following Backtester · Guide · backtest 한국어
equity · US
Senseonics Holdings, Inc. backtest
10 trend-following strategies were compared on the full daily history of Senseonics Holdings, Inc.. 10 beat buy-and-hold CAGR; Keltner 채널 돌파 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is Keltner 채널 돌파 (CAGR 18.6%, MDD -43.9%).
Results by strategy
10 of 10 beat buy and hold (CAGR -21.5%, drawdown -95.4%).
Sharpe leader (same as main): Keltner 채널 돌파 — CAGR 18.6%, MDD -43.9%, Sharpe 0.60, 3% exposure.
Return/drawdown alternative: Keltner 채널 돌파 — CAGR is 40.1%p higher than buy and hold, while drawdown improves by 51.5%p (CAGR 18.6%, MDD -43.9%, exposure 3%).
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=11, atrPeriod=23, mult=3.7 |
18.6% | -43.9% | 0.60 | 0.42 | 6.1x | 10 | 3% |
| EMA 크로스오버 fast=43, slow=153 |
13.3% | -67.6% | 0.46 | 0.20 | 3.8x | 8 | 27% |
| 볼린저 밴드 돌파 n=59, k=3.5 |
13.3% | -59.4% | 0.45 | 0.22 | 3.8x | 8 | 6% |
| MACD fast=10, slow=28, signal=7 |
8.3% | -71.0% | 0.43 | 0.12 | 2.3x | 191 | 52% |
| Donchian 채널 돌파 entryN=151, exitN=22 |
11.9% | -65.8% | 0.42 | 0.18 | 3.3x | 10 | 8% |
| SMA 크로스오버 fast=20, slow=245 |
10.6% | -67.6% | 0.42 | 0.16 | 2.9x | 8 | 25% |
| ADX / DI 방향성 period=9, threshold=23 |
6.1% | -75.8% | 0.38 | 0.08 | 1.9x | 190 | 34% |
| Parabolic SAR step=0.01, maxStep=0.16 |
0.7% | -82.1% | 0.30 | 0.01 | 1.1x | 132 | 41% |
| Supertrend period=9, mult=3 |
-1.4% | -85.8% | 0.27 | -0.02 | 0.9x | 72 | 39% |
| ROC 모멘텀 n=133, threshold=0.05 |
-0.2% | -86.4% | 0.27 | -0.00 | 1.0x | 68 | 29% |
| Buy and hold | -21.5% | -95.4% | 0.15 | -0.23 | 0.1x | 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 11-day average + 3.7× volatility (Keltner top)
- Sell — Sell when the close falls back to the 11-day average