Trend-Following Backtester · Guide · backtest 한국어
equity · US
Aveanna Healthcare Holdings Inc. backtest
10 trend-following strategies were compared on the full daily history of Aveanna Healthcare Holdings 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 6.7%, MDD -3.2%).
Results by strategy
10 of 10 beat buy and hold (CAGR -4.7%, drawdown -94.8%).
Sharpe leader (same as main): Keltner 채널 돌파 — CAGR 6.7%, MDD -3.2%, Sharpe 0.89, 2% exposure.
CAGR reference leader: ROC 모멘텀 — CAGR 31.7%, MDD -33.4%, exposure 42%.
Return/drawdown alternative: Keltner 채널 돌파 — CAGR is 11.3%p higher than buy and hold, while drawdown improves by 91.6%p (CAGR 6.7%, MDD -3.2%, exposure 2%).
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=9, atrPeriod=23, mult=4 |
6.7% | -3.2% | 0.89 | 2.10 | 1.4x | 2 | 2% |
| 볼린저 밴드 돌파 n=36, k=2.3 |
31.4% | -34.7% | 0.85 | 0.91 | 4.2x | 17 | 23% |
| ROC 모멘텀 n=132, threshold=0.08 |
31.7% | -33.4% | 0.81 | 0.95 | 4.2x | 24 | 42% |
| Donchian 채널 돌파 entryN=54, exitN=33 |
27.3% | -36.1% | 0.76 | 0.76 | 3.6x | 9 | 38% |
| Parabolic SAR step=0.035, maxStep=0.2 |
23.1% | -74.2% | 0.65 | 0.31 | 3.0x | 151 | 47% |
| ADX / DI 방향성 period=30, threshold=11 |
21.4% | -39.8% | 0.63 | 0.54 | 2.8x | 41 | 37% |
| EMA 크로스오버 fast=8, slow=166 |
18.3% | -49.5% | 0.58 | 0.37 | 2.4x | 13 | 46% |
| Supertrend period=9, mult=4.8 |
15.4% | -47.8% | 0.53 | 0.32 | 2.1x | 15 | 59% |
| SMA 크로스오버 fast=34, slow=151 |
15.2% | -39.9% | 0.53 | 0.38 | 2.1x | 11 | 47% |
| MACD fast=13, slow=20, signal=11 |
6.4% | -79.2% | 0.38 | 0.08 | 1.4x | 82 | 49% |
| Buy and hold | -4.7% | -94.8% | 0.30 | -0.05 | 0.8x | 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 9-day average + 4× volatility (Keltner top)
- Sell — Sell when the close falls back to the 9-day average