Trend-Following Backtester · Guide · backtest 한국어
equity · US
Adeia Inc. backtest
10 trend-following strategies were compared on the full daily history of Adeia Inc.. 0 beat buy-and-hold CAGR; 볼린저 밴드 돌파 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is 볼린저 밴드 돌파 (CAGR 4.2%, MDD -40.9%).
Results by strategy
0 of 10 beat buy and hold (CAGR 5.4%, drawdown -81.0%).
Sharpe leader (same as main): 볼린저 밴드 돌파 — CAGR 4.2%, MDD -40.9%, Sharpe 0.36, 11% exposure.
CAGR reference leader: Keltner 채널 돌파 — CAGR 4.4%, MDD -51.3%, exposure 22%.
Return/drawdown alternative: 볼린저 밴드 돌파 — CAGR is 1.2%p lower than buy and hold, while drawdown improves by 40.1%p (CAGR 4.2%, MDD -40.9%, exposure 11%).
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=45, k=3.5 |
4.2% | -40.9% | 0.36 | 0.10 | 2.6x | 24 | 11% |
| Keltner 채널 돌파 emaPeriod=47, atrPeriod=27, mult=3.3 |
4.4% | -51.3% | 0.32 | 0.09 | 2.7x | 54 | 22% |
| ADX / DI 방향성 period=24, threshold=19 |
3.3% | -51.9% | 0.26 | 0.06 | 2.1x | 104 | 21% |
| SMA 크로스오버 fast=43, slow=187 |
2.5% | -59.0% | 0.23 | 0.04 | 1.8x | 31 | 47% |
| Donchian 채널 돌파 entryN=53, exitN=18 |
2.3% | -66.1% | 0.22 | 0.04 | 1.7x | 86 | 34% |
| Supertrend period=21, mult=4.9 |
1.6% | -70.9% | 0.21 | 0.02 | 1.4x | 72 | 49% |
| ROC 모멘텀 n=83, threshold=0.07 |
1.9% | -75.1% | 0.21 | 0.03 | 1.5x | 220 | 39% |
| EMA 크로스오버 fast=48, slow=126 |
-0.9% | -76.4% | 0.13 | -0.01 | 0.8x | 47 | 49% |
| MACD fast=10, slow=33, signal=19 |
-3.5% | -91.1% | 0.08 | -0.04 | 0.4x | 350 | 52% |
| Parabolic SAR step=0.015, maxStep=0.38 |
-3.5% | -89.7% | 0.05 | -0.04 | 0.5x | 402 | 51% |
| Buy and hold | 5.4% | -81.0% | 0.36 | 0.07 | 3.3x | 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 45-day average (3.5× volatility)
- Sell — Sell when the close falls back to the 45-day middle average