Trend-Following Backtester · Guide · backtest 한국어
equity · US
TriSalus Life Sciences, Inc. backtest
10 trend-following strategies were compared on the full daily history of TriSalus Life Sciences, Inc.. 10 beat buy-and-hold CAGR; ROC 모멘텀 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is Keltner 채널 돌파 (CAGR 8.7%, MDD -15.8%).
Results by strategy
10 of 10 beat buy and hold (CAGR -14.3%, drawdown -79.0%).
Sharpe leader (same as main): ROC 모멘텀 — CAGR 10.2%, MDD -22.5%, Sharpe 0.51, 9% exposure.
Return/drawdown alternative: Keltner 채널 돌파 — CAGR is 24.5%p higher than buy and hold, while drawdown improves by 56.5%p (CAGR 8.7%, MDD -15.8%, exposure 12%).
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 |
|---|---|---|---|---|---|---|---|
| ROC 모멘텀 n=20, threshold=0.14 |
10.2% | -22.5% | 0.51 | 0.45 | 1.7x | 30 | 9% |
| Keltner 채널 돌파 emaPeriod=11, atrPeriod=17, mult=1.7 |
8.7% | -15.8% | 0.49 | 0.55 | 1.6x | 28 | 12% |
| ADX / DI 방향성 period=5, threshold=50 |
4.0% | -30.6% | 0.28 | 0.13 | 1.2x | 70 | 19% |
| 볼린저 밴드 돌파 n=52, k=2.4 |
2.4% | -27.8% | 0.22 | 0.09 | 1.1x | 14 | 19% |
| Supertrend period=15, mult=3 |
1.4% | -44.7% | 0.21 | 0.03 | 1.1x | 27 | 56% |
| SMA 크로스오버 fast=39, slow=93 |
0.4% | -43.2% | 0.18 | 0.01 | 1.0x | 11 | 49% |
| Donchian 채널 돌파 entryN=35, exitN=18 |
-2.6% | -44.5% | 0.08 | -0.06 | 0.9x | 15 | 46% |
| Parabolic SAR step=0.02, maxStep=0.16 |
-6.1% | -69.5% | 0.03 | -0.09 | 0.7x | 101 | 52% |
| MACD fast=11, slow=54, signal=17 |
-12.1% | -64.4% | -0.08 | -0.19 | 0.5x | 69 | 52% |
| EMA 크로스오버 fast=7, slow=73 |
-14.2% | -65.3% | -0.36 | -0.22 | 0.4x | 33 | 50% |
| Buy and hold | -14.3% | -79.0% | 0.03 | -0.18 | 0.4x | 1 | 100% |
Rules of the top strategy
Rides the trend when recent return (momentum) over a window is above a threshold.
- Buy — Buy when the last 20-day return is greater than 14%
- Sell — Sell when the 20-day return drops to 14% or below