Trend-Following Backtester · Guide · backtest 한국어
equity · US
Globus Medical, Inc. backtest
10 trend-following strategies were compared on the full daily history of Globus Medical, Inc.. 0 beat buy-and-hold CAGR; Supertrend ranks first by Sharpe, matching the main backtester.
Results by strategy
0 of 10 beat buy and hold (CAGR 13.4%, drawdown -47.9%).
Sharpe leader (same as main): Supertrend — CAGR 11.6%, MDD -48.6%, Sharpe 0.55, 60% exposure.
No strategy retained at least 75% of buy-and-hold CAGR while reducing drawdown by both 20% relatively and 5 percentage points absolutely.
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 |
|---|---|---|---|---|---|---|---|
| Supertrend period=13, mult=5 |
11.6% | -48.6% | 0.55 | 0.24 | 4.7x | 38 | 60% |
| Keltner 채널 돌파 emaPeriod=17, atrPeriod=15, mult=4 |
3.3% | -10.4% | 0.54 | 0.31 | 1.6x | 10 | 6% |
| Donchian 채널 돌파 entryN=45, exitN=33 |
9.9% | -43.0% | 0.50 | 0.23 | 3.8x | 34 | 59% |
| 볼린저 밴드 돌파 n=47, k=3.5 |
4.5% | -18.1% | 0.49 | 0.25 | 1.8x | 18 | 15% |
| SMA 크로스오버 fast=27, slow=71 |
9.0% | -43.0% | 0.47 | 0.21 | 3.4x | 54 | 59% |
| Parabolic SAR step=0.005, maxStep=0.28 |
7.9% | -37.6% | 0.42 | 0.21 | 2.9x | 117 | 56% |
| ROC 모멘텀 n=77, threshold=0 |
7.2% | -51.5% | 0.41 | 0.14 | 2.6x | 120 | 58% |
| EMA 크로스오버 fast=44, slow=72 |
5.7% | -45.9% | 0.35 | 0.12 | 2.2x | 34 | 59% |
| MACD fast=17, slow=54, signal=21 |
2.2% | -62.8% | 0.21 | 0.03 | 1.4x | 153 | 49% |
| ADX / DI 방향성 period=35, threshold=14 |
0.2% | -44.1% | 0.09 | 0.00 | 1.0x | 98 | 32% |
| Buy and hold | 13.4% | -47.9% | 0.53 | 0.28 | 5.8x | 1 | 100% |
Rules of the top strategy
Trades the direction of a volatility-based trend line that trails below/above price.
- Buy — Buy when price moves above the trend line (flips up) — 13-day volatility, 5× band
- Sell — Sell when price drops below the trend line (flips down)