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 8.2%, MDD -3.6%).
Results by strategy
10 of 10 beat buy and hold (CAGR 2.0%, drawdown -94.8%).
Sharpe leader (same as main): Keltner 채널 돌파 — CAGR 8.2%, MDD -3.6%, Sharpe 1.00, 3% exposure.
CAGR reference leader: ROC 모멘텀 — CAGR 39.7%, MDD -35.8%, exposure 43%.
Return/drawdown alternative: Keltner 채널 돌파 — CAGR is 6.1%p higher than buy and hold, while drawdown improves by 91.1%p (CAGR 8.2%, MDD -3.6%, exposure 3%).
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 |
8.2% | -3.6% | 1.00 | 2.26 | 1.5x | 3 | 3% |
| ROC 모멘텀 n=132, threshold=0.08 |
39.7% | -35.8% | 0.92 | 1.11 | 6.0x | 27 | 43% |
| 볼린저 밴드 돌파 n=36, k=2.3 |
33.7% | -34.7% | 0.89 | 0.97 | 4.7x | 19 | 24% |
| Donchian 채널 돌파 entryN=54, exitN=33 |
35.6% | -36.1% | 0.88 | 0.99 | 5.1x | 9 | 39% |
| EMA 크로스오버 fast=8, slow=166 |
26.1% | -49.5% | 0.71 | 0.53 | 3.5x | 13 | 47% |
| Parabolic SAR step=0.035, maxStep=0.2 |
26.4% | -74.2% | 0.71 | 0.36 | 3.5x | 153 | 47% |
| ADX / DI 방향성 period=30, threshold=11 |
23.9% | -39.8% | 0.67 | 0.60 | 3.1x | 43 | 38% |
| SMA 크로스오버 fast=34, slow=151 |
22.9% | -39.9% | 0.66 | 0.58 | 3.0x | 11 | 48% |
| Supertrend period=9, mult=4.8 |
23.1% | -47.8% | 0.64 | 0.48 | 3.0x | 15 | 59% |
| MACD fast=13, slow=20, signal=11 |
9.7% | -79.2% | 0.43 | 0.12 | 1.6x | 83 | 49% |
| Buy and hold | 2.0% | -94.8% | 0.39 | 0.02 | 1.1x | 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