Trend-Following Backtester · Guide · backtest 한국어
equity · US
Phreesia, Inc. backtest
10 trend-following strategies were compared on the full daily history of Phreesia, Inc.. 10 beat buy-and-hold CAGR; 볼린저 밴드 돌파 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is Keltner 채널 돌파 (CAGR 8.5%, MDD -25.6%).
Results by strategy
10 of 10 beat buy and hold (CAGR -11.4%, drawdown -90.0%).
Sharpe leader (same as main): 볼린저 밴드 돌파 — CAGR 8.9%, MDD -26.9%, Sharpe 0.69, 8% exposure.
CAGR reference leader: Donchian 채널 돌파 — CAGR 20.8%, MDD -50.9%, exposure 54%.
Return/drawdown alternative: Keltner 채널 돌파 — CAGR is 20.4%p higher than buy and hold, while drawdown improves by 63.1%p (CAGR 8.5%, MDD -25.6%, exposure 15%).
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=53, k=3.4 |
8.9% | -26.9% | 0.69 | 0.33 | 1.8x | 4 | 8% |
| Donchian 채널 돌파 entryN=22, exitN=26 |
20.8% | -50.9% | 0.69 | 0.41 | 3.8x | 23 | 54% |
| ADX / DI 방향성 period=27, threshold=20 |
10.1% | -26.5% | 0.65 | 0.38 | 2.0x | 16 | 12% |
| ROC 모멘텀 n=25, threshold=0.13 |
13.0% | -29.4% | 0.60 | 0.44 | 2.4x | 98 | 23% |
| Supertrend period=21, mult=4.5 |
16.6% | -46.4% | 0.60 | 0.36 | 2.9x | 19 | 54% |
| Keltner 채널 돌파 emaPeriod=41, atrPeriod=21, mult=3.3 |
8.5% | -25.6% | 0.53 | 0.33 | 1.8x | 14 | 15% |
| SMA 크로스오버 fast=13, slow=28 |
8.3% | -54.7% | 0.40 | 0.15 | 1.8x | 67 | 49% |
| MACD fast=17, slow=59, signal=16 |
1.1% | -76.7% | 0.24 | 0.01 | 1.1x | 67 | 52% |
| EMA 크로스오버 fast=43, slow=257 |
1.5% | -64.8% | 0.20 | 0.02 | 1.1x | 8 | 37% |
| Parabolic SAR step=0.03, maxStep=0.34 |
-4.5% | -64.6% | 0.08 | -0.07 | 0.7x | 199 | 51% |
| Buy and hold | -11.4% | -90.0% | 0.10 | -0.13 | 0.4x | 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 53-day average (3.4× volatility)
- Sell — Sell when the close falls back to the 53-day middle average