Trend-Following Backtester · Guide · backtest 한국어
equity · US
Avantor, Inc. backtest
10 trend-following strategies were compared on the full daily history of Avantor, Inc.. 9 beat buy-and-hold CAGR; 볼린저 밴드 돌파 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is 볼린저 밴드 돌파 (CAGR 8.8%, MDD -17.2%).
Results by strategy
9 of 10 beat buy and hold (CAGR -0.0%, drawdown -83.2%).
Sharpe leader (same as main): 볼린저 밴드 돌파 — CAGR 8.8%, MDD -17.2%, Sharpe 0.67, 12% exposure.
CAGR reference leader: Supertrend — CAGR 14.1%, MDD -46.8%, exposure 45%.
Return/drawdown alternative: 볼린저 밴드 돌파 — CAGR is 8.8%p higher than buy and hold, while drawdown improves by 66.0%p (CAGR 8.8%, MDD -17.2%, 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 |
|---|---|---|---|---|---|---|---|
| 볼린저 밴드 돌파 n=54, k=3.2 |
8.8% | -17.2% | 0.67 | 0.51 | 1.9x | 5 | 12% |
| ADX / DI 방향성 period=31, threshold=16 |
12.1% | -26.2% | 0.66 | 0.46 | 2.3x | 29 | 25% |
| SMA 크로스오버 fast=25, slow=208 |
11.5% | -32.5% | 0.64 | 0.35 | 2.2x | 11 | 37% |
| EMA 크로스오버 fast=10, slow=217 |
11.3% | -37.8% | 0.62 | 0.30 | 2.2x | 7 | 37% |
| Supertrend period=16, mult=3.7 |
14.1% | -46.8% | 0.62 | 0.30 | 2.6x | 27 | 45% |
| Donchian 채널 돌파 entryN=23, exitN=25 |
13.7% | -57.4% | 0.60 | 0.24 | 2.5x | 25 | 49% |
| ROC 모멘텀 n=113, threshold=0.15 |
8.1% | -21.3% | 0.58 | 0.38 | 1.8x | 35 | 23% |
| Keltner 채널 돌파 emaPeriod=50, atrPeriod=25, mult=1.8 |
8.6% | -46.4% | 0.48 | 0.19 | 1.8x | 27 | 33% |
| MACD fast=21, slow=46, signal=21 |
1.6% | -71.4% | 0.21 | 0.02 | 1.1x | 63 | 52% |
| Parabolic SAR step=0.005, maxStep=0.22 |
-4.0% | -79.3% | 0.01 | -0.05 | 0.7x | 67 | 50% |
| Buy and hold | -0.0% | -83.2% | 0.22 | -0.00 | 1.0x | 1 | 100% |
Rules of the top strategy
Breaking above the upper band (average plus a multiple of volatility) signals a strong move up.
- Buy — Buy when the close breaks above the upper band of the 54-day average (3.2× volatility)
- Sell — Sell when the close falls back to the 54-day middle average