Trend-Following Backtester · Guide · backtest 한국어
equity · US
Sight Sciences, Inc. backtest
10 trend-following strategies were compared on the full daily history of Sight Sciences, Inc.. 10 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 11.8%, MDD -17.6%).
Results by strategy
10 of 10 beat buy and hold (CAGR -30.8%, drawdown -96.7%).
Sharpe leader (same as main): 볼린저 밴드 돌파 — CAGR 11.8%, MDD -17.6%, Sharpe 0.69, 7% exposure.
CAGR reference leader: ROC 모멘텀 — CAGR 18.9%, MDD -41.1%, exposure 39%.
Return/drawdown alternative: 볼린저 밴드 돌파 — CAGR is 42.6%p higher than buy and hold, while drawdown improves by 79.1%p (CAGR 11.8%, MDD -17.6%, exposure 7%).
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=31, k=3.5 |
11.8% | -17.6% | 0.69 | 0.67 | 1.8x | 4 | 7% |
| ROC 모멘텀 n=62, threshold=-0.01 |
18.9% | -41.1% | 0.58 | 0.46 | 2.4x | 35 | 39% |
| Donchian 채널 돌파 entryN=22, exitN=45 |
18.3% | -57.7% | 0.57 | 0.32 | 2.3x | 13 | 51% |
| MACD fast=16, slow=19, signal=18 |
11.6% | -75.8% | 0.54 | 0.15 | 1.7x | 62 | 49% |
| SMA 크로스오버 fast=17, slow=74 |
16.2% | -45.0% | 0.54 | 0.36 | 2.1x | 13 | 37% |
| Keltner 채널 돌파 emaPeriod=13, atrPeriod=17, mult=4 |
8.5% | -21.2% | 0.52 | 0.40 | 1.5x | 4 | 5% |
| ADX / DI 방향성 period=26, threshold=12 |
7.7% | -49.5% | 0.40 | 0.16 | 1.5x | 51 | 42% |
| Supertrend period=15, mult=3.9 |
7.3% | -54.0% | 0.39 | 0.14 | 1.4x | 15 | 42% |
| Parabolic SAR step=0.005, maxStep=0.18 |
2.5% | -56.8% | 0.32 | 0.04 | 1.1x | 44 | 42% |
| EMA 크로스오버 fast=32, slow=63 |
4.5% | -47.8% | 0.31 | 0.10 | 1.3x | 9 | 37% |
| Buy and hold | -30.8% | -96.7% | 0.09 | -0.32 | 0.2x | 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 31-day average (3.5× volatility)
- Sell — Sell when the close falls back to the 31-day middle average