Trend-Following Backtester · Guide · backtest 한국어
equity · US
Artivion, Inc. backtest
10 trend-following strategies were compared on the full daily history of Artivion, Inc.. 1 beat buy-and-hold CAGR; SMA 크로스오버 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is EMA 크로스오버 (CAGR 5.5%, MDD -72.4%).
Results by strategy
1 of 10 beat buy and hold (CAGR 5.8%, drawdown -95.7%).
Sharpe leader (same as main): SMA 크로스오버 — CAGR 6.7%, MDD -79.4%, Sharpe 0.36, 55% exposure.
Return/drawdown alternative: EMA 크로스오버 — CAGR is 0.9%p higher than buy and hold, while drawdown improves by 16.3%p (CAGR 5.5%, MDD -72.4%, exposure 57%).
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=36, slow=79 |
6.7% | -79.4% | 0.36 | 0.08 | 8.8x | 112 | 55% |
| EMA 크로스오버 fast=51, slow=219 |
5.5% | -72.4% | 0.33 | 0.08 | 6.0x | 42 | 57% |
| Donchian 채널 돌파 entryN=27, exitN=71 |
3.7% | -79.9% | 0.31 | 0.05 | 3.3x | 85 | 75% |
| 볼린저 밴드 돌파 n=49, k=3.5 |
3.8% | -38.8% | 0.30 | 0.10 | 3.5x | 38 | 11% |
| Supertrend period=15, mult=2.9 |
2.7% | -74.8% | 0.26 | 0.04 | 2.4x | 229 | 50% |
| ADX / DI 방향성 period=44, threshold=6 |
1.8% | -83.3% | 0.25 | 0.02 | 1.8x | 384 | 56% |
| Keltner 채널 돌파 emaPeriod=38, atrPeriod=17, mult=2.7 |
3.1% | -55.0% | 0.25 | 0.06 | 2.8x | 132 | 25% |
| MACD fast=17, slow=32, signal=12 |
-0.6% | -92.7% | 0.22 | -0.01 | 0.8x | 485 | 51% |
| ROC 모멘텀 n=84, threshold=0.11 |
-0.8% | -90.9% | 0.14 | -0.01 | 0.8x | 380 | 38% |
| Parabolic SAR step=0.025, maxStep=0.26 |
-3.4% | -95.0% | 0.12 | -0.04 | 0.3x | 739 | 51% |
| Buy and hold | 5.8% | -95.7% | 0.40 | 0.06 | 6.7x | 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 36-day average price crosses above the 79-day average
- Sell — Sell (to cash) when the 36-day average falls below the 79-day average