Trend-Following Backtester · Guide · backtest 한국어
equity · US
Savara, Inc. backtest
10 trend-following strategies were compared on the full daily history of Savara, Inc.. 9 beat buy-and-hold CAGR; Parabolic SAR ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is Keltner 채널 돌파 (CAGR 26.0%, MDD -50.3%).
Results by strategy
9 of 10 beat buy and hold (CAGR -5.1%, drawdown -95.8%).
Sharpe leader (same as main): Parabolic SAR — CAGR 28.2%, MDD -70.6%, Sharpe 0.58, 45% exposure.
Return/drawdown alternative: Keltner 채널 돌파 — CAGR is 33.3%p higher than buy and hold, while drawdown improves by 25.2%p (CAGR 26.0%, MDD -50.3%, exposure 25%).
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=0.32 |
28.2% | -70.6% | 0.58 | 0.40 | 10.2x | 152 | 45% |
| Keltner 채널 돌파 emaPeriod=47, atrPeriod=18, mult=2.6 |
26.0% | -50.3% | 0.54 | 0.52 | 8.6x | 22 | 25% |
| Supertrend period=13, mult=2.7 |
21.8% | -72.4% | 0.51 | 0.30 | 6.3x | 60 | 41% |
| ADX / DI 방향성 period=7, threshold=29 |
21.6% | -72.5% | 0.50 | 0.30 | 6.2x | 160 | 33% |
| ROC 모멘텀 n=16, threshold=0.08 |
19.7% | -68.4% | 0.47 | 0.29 | 5.4x | 186 | 29% |
| 볼린저 밴드 돌파 n=26, k=2.6 |
20.0% | -66.3% | 0.47 | 0.30 | 5.5x | 46 | 21% |
| MACD fast=10, slow=13, signal=12 |
13.8% | -89.1% | 0.43 | 0.16 | 3.4x | 202 | 52% |
| Donchian 채널 돌파 entryN=28, exitN=7 |
11.9% | -71.9% | 0.40 | 0.17 | 2.9x | 62 | 26% |
| SMA 크로스오버 fast=10, slow=39 |
7.7% | -82.7% | 0.38 | 0.09 | 2.0x | 64 | 48% |
| EMA 크로스오버 fast=53, slow=116 |
-9.9% | -95.0% | 0.10 | -0.10 | 0.4x | 17 | 46% |
| Buy and hold | -5.1% | -95.8% | 0.37 | -0.05 | 0.6x | 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