Trend-Following Backtester · Guide · backtest 한국어
equity · TW
Lin BioScience, Inc. backtest
10 trend-following strategies were compared on the full daily history of Lin BioScience, Inc.. 5 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 45.7%, MDD -41.5%).
Results by strategy
5 of 10 beat buy and hold (CAGR 40.7%, drawdown -74.2%).
Sharpe leader (same as main): 볼린저 밴드 돌파 — CAGR 36.3%, MDD -45.8%, Sharpe 1.05, 25% exposure.
CAGR reference leader: EMA 크로스오버 — CAGR 52.9%, MDD -52.2%, exposure 51%.
Return/drawdown alternative: Keltner 채널 돌파 — CAGR is 4.3%p lower than buy and hold, while drawdown improves by 28.4%p (CAGR 45.7%, MDD -41.5%, exposure 41%).
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=18, k=2.2 |
36.3% | -45.8% | 1.05 | 0.79 | 11.3x | 56 | 25% |
| EMA 크로스오버 fast=9, slow=83 |
52.9% | -52.2% | 1.03 | 1.01 | 27.5x | 17 | 51% |
| Parabolic SAR step=0.015, maxStep=0.3 |
49.2% | -53.3% | 1.03 | 0.92 | 22.7x | 92 | 49% |
| MACD fast=9, slow=13, signal=9 |
39.0% | -51.0% | 1.02 | 0.77 | 13.1x | 176 | 47% |
| SMA 크로스오버 fast=7, slow=72 |
50.1% | -50.2% | 1.01 | 1.00 | 23.9x | 43 | 49% |
| Keltner 채널 돌파 emaPeriod=54, atrPeriod=11, mult=1.7 |
45.7% | -41.5% | 0.97 | 1.10 | 18.9x | 35 | 41% |
| ROC 모멘텀 n=59, threshold=0.09 |
36.8% | -46.3% | 0.94 | 0.79 | 11.5x | 69 | 37% |
| Donchian 채널 돌파 entryN=26, exitN=38 |
45.2% | -66.0% | 0.93 | 0.69 | 18.5x | 21 | 60% |
| Supertrend period=8, mult=4.8 |
34.7% | -50.6% | 0.88 | 0.68 | 10.2x | 19 | 60% |
| ADX / DI 방향성 period=10, threshold=34 |
24.5% | -51.0% | 0.82 | 0.48 | 5.5x | 60 | 22% |
| Buy and hold | 40.7% | -74.2% | 0.83 | 0.55 | 14.4x | 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 18-day average (2.2× volatility)
- Sell — Sell when the close falls back to the 18-day middle average