Trend-Following Backtester · Guide · backtest 한국어
equity · US
Glaukos Corporation backtest
10 trend-following strategies were compared on the full daily history of Glaukos Corporation. 3 beat buy-and-hold CAGR; ROC 모멘텀 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is ROC 모멘텀 (CAGR 20.9%, MDD -39.9%).
Results by strategy
3 of 10 beat buy and hold (CAGR 16.9%, drawdown -69.6%).
Sharpe leader (same as main): ROC 모멘텀 — CAGR 20.9%, MDD -39.9%, Sharpe 0.73, 52% exposure.
CAGR reference leader: SMA 크로스오버 — CAGR 21.7%, MDD -50.3%, exposure 57%.
Return/drawdown alternative: ROC 모멘텀 — CAGR is 4.0%p higher than buy and hold, while drawdown improves by 29.7%p (CAGR 20.9%, MDD -39.9%, 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 |
|---|---|---|---|---|---|---|---|
| ROC 모멘텀 n=154, threshold=0.11 |
20.9% | -39.9% | 0.73 | 0.52 | 8.3x | 77 | 52% |
| SMA 크로스오버 fast=35, slow=142 |
21.7% | -50.3% | 0.72 | 0.43 | 9.0x | 15 | 57% |
| Donchian 채널 돌파 entryN=97, exitN=52 |
19.0% | -48.4% | 0.70 | 0.39 | 7.0x | 15 | 46% |
| EMA 크로스오버 fast=49, slow=76 |
16.3% | -65.8% | 0.60 | 0.25 | 5.4x | 21 | 57% |
| 볼린저 밴드 돌파 n=38, k=3.5 |
5.1% | -19.7% | 0.53 | 0.26 | 1.7x | 8 | 8% |
| MACD fast=16, slow=59, signal=13 |
11.6% | -41.8% | 0.48 | 0.28 | 3.4x | 140 | 54% |
| ADX / DI 방향성 period=17, threshold=36 |
2.9% | -16.9% | 0.45 | 0.17 | 1.4x | 8 | 5% |
| Supertrend period=14, mult=5 |
6.0% | -69.3% | 0.35 | 0.09 | 1.9x | 35 | 56% |
| Keltner 채널 돌파 emaPeriod=31, atrPeriod=21, mult=1 |
5.1% | -55.1% | 0.31 | 0.09 | 1.7x | 117 | 46% |
| Parabolic SAR step=0.005, maxStep=0.26 |
3.7% | -69.4% | 0.28 | 0.05 | 1.5x | 100 | 54% |
| Buy and hold | 16.9% | -69.6% | 0.56 | 0.24 | 5.7x | 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 154-day return is greater than 11%
- Sell — Sell when the 154-day return drops to 11% or below