Trend-Following Backtester · Guide · backtest 한국어
equity · US
Aquestive Therapeutics, Inc. backtest
10 trend-following strategies were compared on the full daily history of Aquestive Therapeutics, Inc.. 10 beat buy-and-hold CAGR; Keltner 채널 돌파 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is Keltner 채널 돌파 (CAGR 32.4%, MDD -38.4%).
Results by strategy
10 of 10 beat buy and hold (CAGR -13.2%, drawdown -96.7%).
Sharpe leader (same as main): Keltner 채널 돌파 — CAGR 32.4%, MDD -38.4%, Sharpe 0.85, 22% exposure.
Return/drawdown alternative: Keltner 채널 돌파 — CAGR is 45.6%p higher than buy and hold, while drawdown improves by 58.3%p (CAGR 32.4%, MDD -38.4%, exposure 22%).
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 |
|---|---|---|---|---|---|---|---|
| Keltner 채널 돌파 emaPeriod=25, atrPeriod=21, mult=2.1 |
32.4% | -38.4% | 0.85 | 0.84 | 9.7x | 37 | 22% |
| ROC 모멘텀 n=24, threshold=0.13 |
28.0% | -44.2% | 0.75 | 0.63 | 7.4x | 105 | 28% |
| 볼린저 밴드 돌파 n=38, k=2.3 |
24.9% | -46.8% | 0.72 | 0.53 | 6.1x | 29 | 24% |
| ADX / DI 방향성 period=18, threshold=20 |
24.1% | -52.6% | 0.67 | 0.46 | 5.8x | 63 | 30% |
| Supertrend period=27, mult=3.2 |
22.6% | -84.1% | 0.65 | 0.27 | 5.2x | 41 | 33% |
| MACD fast=18, slow=29, signal=14 |
18.6% | -68.3% | 0.59 | 0.27 | 4.0x | 95 | 51% |
| Parabolic SAR step=0.025, maxStep=0.34 |
13.5% | -80.6% | 0.51 | 0.17 | 2.8x | 187 | 45% |
| SMA 크로스오버 fast=18, slow=56 |
13.5% | -74.0% | 0.51 | 0.18 | 2.8x | 37 | 39% |
| EMA 크로스오버 fast=1, slow=121 |
11.2% | -67.0% | 0.48 | 0.17 | 2.4x | 47 | 37% |
| Donchian 채널 돌파 entryN=39, exitN=20 |
9.6% | -78.9% | 0.43 | 0.12 | 2.1x | 29 | 31% |
| Buy and hold | -13.2% | -96.7% | 0.28 | -0.14 | 0.3x | 1 | 100% |
Rules of the top strategy
Breaking above the channel top (average plus a multiple of volatility) signals an upside breakout.
- Buy — Buy when the close breaks above the 25-day average + 2.1× volatility (Keltner top)
- Sell — Sell when the close falls back to the 25-day average