Trend-Following Backtester · Guide · backtest 한국어
equity · US
Sanara MedTech Inc. backtest
10 trend-following strategies were compared on the full daily history of Sanara MedTech Inc.. 2 beat buy-and-hold CAGR; SMA 크로스오버 ranks first by Sharpe, matching the main backtester.
Results by strategy
2 of 10 beat buy and hold (CAGR -6.5%, drawdown -100.0%).
Sharpe leader (same as main): SMA 크로스오버 — CAGR 7.2%, MDD -98.4%, Sharpe 0.60, 42% exposure.
No strategy retained at least 75% of buy-and-hold CAGR while reducing drawdown by both 20% relatively and 5 percentage points absolutely.
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 |
|---|---|---|---|---|---|---|---|
| SMA 크로스오버 fast=54, slow=73 |
7.2% | -98.4% | 0.60 | 0.07 | 9.4x | 157 | 42% |
| EMA 크로스오버 fast=34, slow=92 |
-5.8% | -99.5% | 0.52 | -0.06 | 0.1x | 79 | 41% |
| MACD fast=19, slow=53, signal=17 |
-44.8% | -100.0% | 0.34 | -0.45 | 0.0x | 373 | 51% |
| Donchian 채널 돌파 entryN=120, exitN=58 |
-16.1% | -100.0% | 0.32 | -0.16 | 0.0x | 55 | 29% |
| ADX / DI 방향성 period=48, threshold=16 |
-15.4% | -99.8% | 0.29 | -0.15 | 0.0x | 75 | 17% |
| Parabolic SAR step=0.005, maxStep=0.24 |
-37.1% | -100.0% | 0.25 | -0.37 | 0.0x | 179 | 43% |
| ROC 모멘텀 n=148, threshold=0.04 |
-39.8% | -100.0% | 0.19 | -0.40 | 0.0x | 373 | 39% |
| 볼린저 밴드 돌파 n=56, k=3.4 |
-11.9% | -99.2% | 0.19 | -0.12 | 0.0x | 41 | 9% |
| Supertrend period=25, mult=5 |
-53.5% | -100.0% | 0.04 | -0.54 | 0.0x | 175 | 44% |
| Keltner 채널 돌파 emaPeriod=28, atrPeriod=21, mult=2.8 |
-37.7% | -100.0% | 0.03 | -0.38 | 0.0x | 149 | 16% |
| Buy and hold | -6.5% | -100.0% | 0.88 | -0.07 | 0.1x | 1 | 100% |
Rules of the top strategy
When the short average rises above the long average, it reads that as an uptrend starting.
- Buy — Buy when the 54-day average price crosses above the 73-day average
- Sell — Sell (to cash) when the 54-day average falls below the 73-day average