Trend-Following Backtester · Guide · backtest 한국어
equity · US
Strata Critical Medical, Inc. backtest
10 trend-following strategies were compared on the full daily history of Strata Critical Medical, Inc.. 9 beat buy-and-hold CAGR; 볼린저 밴드 돌파 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is ADX / DI 방향성 (CAGR 4.6%, MDD -18.4%).
Results by strategy
9 of 10 beat buy and hold (CAGR -9.5%, drawdown -88.8%).
Sharpe leader (same as main): 볼린저 밴드 돌파 — CAGR 15.4%, MDD -35.8%, Sharpe 0.68, 17% exposure.
CAGR reference leader: MACD — CAGR 17.0%, MDD -70.7%, exposure 47%.
Return/drawdown alternative: ADX / DI 방향성 — CAGR is 24.8%p higher than buy and hold, while drawdown improves by 53.0%p (CAGR 4.6%, MDD -18.4%, exposure 5%).
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=17, k=2.7 |
15.4% | -35.8% | 0.68 | 0.43 | 2.6x | 26 | 17% |
| MACD fast=12, slow=69, signal=13 |
17.0% | -70.7% | 0.57 | 0.24 | 2.9x | 70 | 47% |
| ADX / DI 방향성 period=25, threshold=34 |
4.6% | -18.4% | 0.49 | 0.25 | 1.4x | 6 | 5% |
| Donchian 채널 돌파 entryN=10, exitN=29 |
6.4% | -54.3% | 0.37 | 0.12 | 1.5x | 46 | 66% |
| ROC 모멘텀 n=29, threshold=0 |
4.9% | -54.1% | 0.33 | 0.09 | 1.4x | 96 | 47% |
| Supertrend period=18, mult=2.1 |
0.6% | -67.7% | 0.24 | 0.01 | 1.0x | 84 | 48% |
| Parabolic SAR step=0.025, maxStep=0.32 |
0.2% | -58.9% | 0.23 | 0.00 | 1.0x | 154 | 50% |
| Keltner 채널 돌파 emaPeriod=13, atrPeriod=23, mult=2.4 |
2.0% | -36.6% | 0.20 | 0.05 | 1.1x | 28 | 13% |
| EMA 크로스오버 fast=52, slow=266 |
-0.4% | -64.2% | 0.16 | -0.01 | 1.0x | 5 | 29% |
| SMA 크로스오버 fast=44, slow=153 |
-13.9% | -80.2% | -0.14 | -0.17 | 0.4x | 17 | 44% |
| Buy and hold | -9.5% | -88.8% | 0.15 | -0.11 | 0.5x | 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 17-day average (2.7× volatility)
- Sell — Sell when the close falls back to the 17-day middle average