Trend-Following Backtester · Guide · backtest 한국어
equity · US
Adaptive Biotechnologies Corporation backtest
10 trend-following strategies were compared on the full daily history of Adaptive Biotechnologies Corporation. 8 beat buy-and-hold CAGR; EMA 크로스오버 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is 볼린저 밴드 돌파 (CAGR 6.1%, MDD -16.9%).
Results by strategy
8 of 10 beat buy and hold (CAGR -6.5%, drawdown -96.6%).
Sharpe leader (same as main): EMA 크로스오버 — CAGR 29.0%, MDD -44.8%, Sharpe 0.79, 38% exposure.
Return/drawdown alternative: 볼린저 밴드 돌파 — CAGR is 35.6%p higher than buy and hold, while drawdown improves by 51.7%p (CAGR 6.1%, MDD -16.9%, exposure 6%).
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 |
|---|---|---|---|---|---|---|---|
| EMA 크로스오버 fast=11, slow=170 |
29.0% | -44.8% | 0.79 | 0.65 | 6.2x | 5 | 38% |
| SMA 크로스오버 fast=19, slow=178 |
25.1% | -44.1% | 0.72 | 0.57 | 5.0x | 7 | 40% |
| ROC 모멘텀 n=112, threshold=-0.03 |
25.7% | -51.1% | 0.70 | 0.50 | 5.2x | 45 | 46% |
| Donchian 채널 돌파 entryN=109, exitN=79 |
21.6% | -42.6% | 0.66 | 0.51 | 4.1x | 5 | 37% |
| 볼린저 밴드 돌파 n=24, k=3.3 |
6.1% | -16.9% | 0.48 | 0.36 | 1.5x | 3 | 6% |
| ADX / DI 방향성 period=31, threshold=13 |
12.1% | -57.2% | 0.48 | 0.21 | 2.3x | 41 | 34% |
| Supertrend period=9, mult=3.2 |
6.5% | -77.2% | 0.38 | 0.08 | 1.6x | 39 | 51% |
| Keltner 채널 돌파 emaPeriod=28, atrPeriod=9, mult=3.6 |
2.1% | -22.3% | 0.23 | 0.09 | 1.2x | 3 | 4% |
| MACD fast=15, slow=42, signal=14 |
-17.7% | -89.7% | -0.12 | -0.20 | 0.2x | 96 | 52% |
| Parabolic SAR step=0.015, maxStep=0.14 |
-22.3% | -91.7% | -0.24 | -0.24 | 0.2x | 143 | 51% |
| Buy and hold | -6.5% | -96.6% | 0.29 | -0.07 | 0.6x | 1 | 100% |
Rules of the top strategy
Uses two exponential averages (more weight on recent prices) and trades their crossover.
- Buy — Buy when the 11-day EMA crosses above the 170-day EMA
- Sell — Sell when the 11-day EMA falls below the 170-day EMA