Trend-Following Backtester · Guide · backtest 한국어
equity · US
Surrozen, Inc. backtest
10 trend-following strategies were compared on the full daily history of Surrozen, Inc.. 10 beat buy-and-hold CAGR; Parabolic SAR ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is ADX / DI 방향성 (CAGR 0.9%, MDD -0.5%).
Results by strategy
10 of 10 beat buy and hold (CAGR -29.3%, drawdown -97.2%).
Sharpe leader (same as main): Parabolic SAR — CAGR 17.1%, MDD -62.9%, Sharpe 0.57, 46% exposure.
Return/drawdown alternative: ADX / DI 방향성 — CAGR is 46.4%p higher than buy and hold, while drawdown improves by 34.4%p (CAGR 0.9%, MDD -0.5%, exposure 0%).
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 |
|---|---|---|---|---|---|---|---|
| Parabolic SAR step=0.015, maxStep=0.1 |
17.1% | -62.9% | 0.57 | 0.27 | 2.4x | 82 | 46% |
| ADX / DI 방향성 period=34, threshold=30 |
0.9% | -0.5% | 0.52 | 1.88 | 1.1x | 2 | 0% |
| SMA 크로스오버 fast=43, slow=138 |
12.7% | -47.4% | 0.49 | 0.27 | 1.9x | 8 | 33% |
| EMA 크로스오버 fast=58, slow=80 |
8.3% | -56.0% | 0.42 | 0.15 | 1.6x | 6 | 34% |
| MACD fast=9, slow=30, signal=18 |
1.1% | -83.7% | 0.36 | 0.01 | 1.1x | 70 | 53% |
| Donchian 채널 돌파 entryN=81, exitN=60 |
-0.3% | -66.0% | 0.26 | -0.01 | 1.0x | 8 | 34% |
| ROC 모멘텀 n=110, threshold=0.11 |
-2.6% | -64.9% | 0.18 | -0.04 | 0.9x | 58 | 29% |
| Keltner 채널 돌파 emaPeriod=12, atrPeriod=23, mult=3.8 |
0.9% | -15.2% | 0.15 | 0.06 | 1.1x | 2 | 1% |
| Supertrend period=13, mult=2.4 |
-9.8% | -84.1% | 0.14 | -0.12 | 0.6x | 38 | 44% |
| 볼린저 밴드 돌파 n=55, k=1.1 |
-11.3% | -78.8% | 0.08 | -0.14 | 0.5x | 30 | 32% |
| Buy and hold | -29.3% | -97.2% | 0.10 | -0.30 | 0.1x | 1 | 100% |
Rules of the top strategy
Trades around the Parabolic SAR dots that accelerate toward price.
- Buy — Buy when price rises above the SAR dots
- Sell — Sell when price falls below the SAR dots