Trend-Following Backtester · Guide · backtest 한국어
equity · US
Align Technology, Inc. backtest
10 trend-following strategies were compared on the full daily history of Align Technology, Inc.. 9 beat buy-and-hold CAGR; SMA 크로스오버 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is Keltner 채널 돌파 (CAGR 13.9%, MDD -42.9%).
Results by strategy
9 of 10 beat buy and hold (CAGR 9.4%, drawdown -92.3%).
Sharpe leader (same as main): SMA 크로스오버 — CAGR 19.4%, MDD -61.8%, Sharpe 0.67, 58% exposure.
CAGR reference leader: Donchian 채널 돌파 — CAGR 20.2%, MDD -61.0%, exposure 61%.
Return/drawdown alternative: Keltner 채널 돌파 — CAGR is 10.0%p higher than buy and hold, while drawdown improves by 30.5%p (CAGR 13.9%, MDD -42.9%, exposure 35%).
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 |
|---|---|---|---|---|---|---|---|
| SMA 크로스오버 fast=16, slow=125 |
19.4% | -61.8% | 0.67 | 0.31 | 92.6x | 62 | 58% |
| Donchian 채널 돌파 entryN=64, exitN=79 |
20.2% | -61.0% | 0.67 | 0.33 | 107.9x | 33 | 61% |
| EMA 크로스오버 fast=39, slow=72 |
18.3% | -55.1% | 0.65 | 0.33 | 73.4x | 49 | 58% |
| ADX / DI 방향성 period=38, threshold=12 |
17.1% | -61.9% | 0.63 | 0.28 | 55.9x | 184 | 45% |
| Keltner 채널 돌파 emaPeriod=66, atrPeriod=24, mult=3.7 |
13.9% | -42.9% | 0.59 | 0.32 | 27.9x | 64 | 35% |
| Supertrend period=21, mult=4.2 |
17.4% | -68.1% | 0.59 | 0.26 | 59.3x | 85 | 59% |
| ROC 모멘텀 n=120, threshold=0.13 |
13.3% | -68.7% | 0.55 | 0.19 | 24.4x | 190 | 45% |
| 볼린저 밴드 돌파 n=68, k=2.4 |
10.3% | -43.1% | 0.51 | 0.24 | 12.2x | 58 | 34% |
| Parabolic SAR step=0.005, maxStep=0.22 |
10.0% | -70.4% | 0.43 | 0.14 | 11.2x | 200 | 54% |
| MACD fast=23, slow=39, signal=15 |
0.1% | -83.9% | 0.21 | 0.00 | 1.0x | 312 | 50% |
| Buy and hold | 9.4% | -92.3% | 0.45 | 0.10 | 10.0x | 1 | 100% |
Rules of the top strategy
When the short average rises above the long average, it reads that as an uptrend starting.
- Buy — Buy when the 16-day average price crosses above the 125-day average
- Sell — Sell (to cash) when the 16-day average falls below the 125-day average