Trend-Following Backtester · Guide · backtest 한국어
equity · US
Sotera Health Company backtest
10 trend-following strategies were compared on the full daily history of Sotera Health Company. 9 beat buy-and-hold CAGR; Supertrend ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is Keltner 채널 돌파 (CAGR 3.2%, MDD -13.7%).
Results by strategy
9 of 10 beat buy and hold (CAGR -4.9%, drawdown -79.5%).
Sharpe leader (same as main): Supertrend — CAGR 19.4%, MDD -31.8%, Sharpe 0.54, 48% exposure.
Return/drawdown alternative: Keltner 채널 돌파 — CAGR is 24.2%p higher than buy and hold, while drawdown improves by 47.7%p (CAGR 3.2%, MDD -13.7%, exposure 10%).
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 |
|---|---|---|---|---|---|---|---|
| Supertrend period=15, mult=3.3 |
19.4% | -31.8% | 0.54 | 0.61 | 2.8x | 23 | 48% |
| ADX / DI 방향성 period=27, threshold=17 |
16.7% | -26.2% | 0.50 | 0.64 | 2.4x | 23 | 24% |
| MACD fast=16, slow=38, signal=18 |
13.9% | -57.9% | 0.44 | 0.24 | 2.1x | 57 | 51% |
| 볼린저 밴드 돌파 n=18, k=3 |
4.1% | -14.5% | 0.43 | 0.28 | 1.3x | 10 | 9% |
| ROC 모멘텀 n=56, threshold=0.08 |
9.8% | -33.5% | 0.36 | 0.29 | 1.7x | 59 | 32% |
| Donchian 채널 돌파 entryN=10, exitN=44 |
8.0% | -64.6% | 0.35 | 0.12 | 1.6x | 25 | 69% |
| Keltner 채널 돌파 emaPeriod=17, atrPeriod=26, mult=2.6 |
3.2% | -13.7% | 0.34 | 0.23 | 1.2x | 14 | 10% |
| SMA 크로스오버 fast=9, slow=75 |
3.6% | -38.1% | 0.24 | 0.09 | 1.2x | 27 | 42% |
| EMA 크로스오버 fast=14, slow=27 |
-3.4% | -66.6% | 0.10 | -0.05 | 0.8x | 51 | 48% |
| Parabolic SAR step=0.025, maxStep=0.38 |
-6.2% | -64.1% | 0.05 | -0.10 | 0.7x | 149 | 53% |
| Buy and hold | -4.9% | -79.5% | 0.18 | -0.06 | 0.7x | 1 | 100% |
Rules of the top strategy
Trades the direction of a volatility-based trend line that trails below/above price.
- Buy — Buy when price moves above the trend line (flips up) — 15-day volatility, 3.3× band
- Sell — Sell when price drops below the trend line (flips down)