Trend-Following Backtester · Guide · backtest 한국어
equity · US
Veracyte, Inc. backtest
10 trend-following strategies were compared on the full daily history of Veracyte, Inc.. 6 beat buy-and-hold CAGR; SMA 크로스오버 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is SMA 크로스오버 (CAGR 14.7%, MDD -58.6%).
Results by strategy
6 of 10 beat buy and hold (CAGR 10.3%, drawdown -81.2%).
Sharpe leader (same as main): SMA 크로스오버 — CAGR 14.7%, MDD -58.6%, Sharpe 0.54, 52% exposure.
Return/drawdown alternative: SMA 크로스오버 — CAGR is 4.4%p higher than buy and hold, while drawdown improves by 22.6%p (CAGR 14.7%, MDD -58.6%, exposure 52%).
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=9, slow=68 |
14.7% | -58.6% | 0.54 | 0.25 | 5.7x | 55 | 52% |
| Supertrend period=11, mult=3.3 |
13.6% | -66.4% | 0.51 | 0.20 | 5.1x | 57 | 51% |
| MACD fast=22, slow=44, signal=18 |
12.8% | -66.7% | 0.49 | 0.19 | 4.6x | 124 | 50% |
| EMA 크로스오버 fast=33, slow=41 |
12.0% | -69.2% | 0.48 | 0.17 | 4.2x | 45 | 52% |
| Keltner 채널 돌파 emaPeriod=42, atrPeriod=11, mult=1.2 |
11.2% | -60.1% | 0.47 | 0.19 | 3.9x | 91 | 38% |
| Donchian 채널 돌파 entryN=31, exitN=42 |
11.4% | -67.4% | 0.46 | 0.17 | 4.0x | 33 | 61% |
| 볼린저 밴드 돌파 n=33, k=1.7 |
10.1% | -61.3% | 0.45 | 0.16 | 3.4x | 92 | 35% |
| ADX / DI 방향성 period=24, threshold=30 |
2.9% | -32.4% | 0.30 | 0.09 | 1.4x | 14 | 6% |
| ROC 모멘텀 n=45, threshold=0.05 |
2.2% | -72.5% | 0.25 | 0.03 | 1.3x | 175 | 45% |
| Parabolic SAR step=0.005, maxStep=0.28 |
-1.2% | -77.7% | 0.18 | -0.02 | 0.9x | 115 | 50% |
| Buy and hold | 10.3% | -81.2% | 0.46 | 0.13 | 3.5x | 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 9-day average price crosses above the 68-day average
- Sell — Sell (to cash) when the 9-day average falls below the 68-day average