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 20.2%, MDD -39.9%).
Results by strategy
3 of 10 beat buy and hold (CAGR 16.2%, drawdown -69.6%).
Sharpe leader (same as main): ROC 모멘텀 — CAGR 20.2%, MDD -39.9%, Sharpe 0.71, 51% exposure.
CAGR reference leader: SMA 크로스오버 — CAGR 21.0%, MDD -50.3%, exposure 56%.
Return/drawdown alternative: ROC 모멘텀 — CAGR is 4.0%p higher than buy and hold, while drawdown improves by 29.7%p (CAGR 20.2%, MDD -39.9%, exposure 51%).
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 |
20.2% | -39.9% | 0.71 | 0.51 | 7.7x | 77 | 51% |
| SMA 크로스오버 fast=35, slow=142 |
21.0% | -50.3% | 0.70 | 0.42 | 8.3x | 15 | 56% |
| Donchian 채널 돌파 entryN=97, exitN=52 |
18.4% | -48.4% | 0.68 | 0.38 | 6.5x | 15 | 46% |
| EMA 크로스오버 fast=49, slow=76 |
15.7% | -65.8% | 0.58 | 0.24 | 5.0x | 21 | 57% |
| 볼린저 밴드 돌파 n=38, k=3.5 |
5.2% | -19.7% | 0.53 | 0.26 | 1.7x | 8 | 8% |
| MACD fast=16, slow=59, signal=13 |
11.0% | -41.8% | 0.46 | 0.26 | 3.2x | 139 | 54% |
| ADX / DI 방향성 period=17, threshold=36 |
3.0% | -16.9% | 0.45 | 0.18 | 1.4x | 8 | 5% |
| Supertrend period=14, mult=5 |
5.4% | -69.3% | 0.33 | 0.08 | 1.8x | 35 | 56% |
| Keltner 채널 돌파 emaPeriod=31, atrPeriod=21, mult=1 |
4.5% | -55.1% | 0.29 | 0.08 | 1.6x | 117 | 45% |
| Parabolic SAR step=0.005, maxStep=0.26 |
3.1% | -69.4% | 0.26 | 0.04 | 1.4x | 99 | 54% |
| Buy and hold | 16.2% | -69.6% | 0.55 | 0.23 | 5.3x | 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