Trend-Following Backtester · Guide · backtest 한국어
equity · US
Cytek Biosciences, Inc. backtest
10 trend-following strategies were compared on the full daily history of Cytek Biosciences, Inc.. 10 beat buy-and-hold CAGR; ADX / DI 방향성 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is ADX / DI 방향성 (CAGR 7.3%, MDD -16.4%).
Results by strategy
10 of 10 beat buy and hold (CAGR -23.6%, drawdown -91.3%).
Sharpe leader (same as main): ADX / DI 방향성 — CAGR 7.3%, MDD -16.4%, Sharpe 0.66, 4% exposure.
CAGR reference leader: 볼린저 밴드 돌파 — CAGR 10.1%, MDD -37.7%, exposure 15%.
Return/drawdown alternative: ADX / DI 방향성 — CAGR is 30.9%p higher than buy and hold, while drawdown improves by 74.9%p (CAGR 7.3%, MDD -16.4%, exposure 4%).
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 |
|---|---|---|---|---|---|---|---|
| ADX / DI 방향성 period=24, threshold=31 |
7.3% | -16.4% | 0.66 | 0.45 | 1.4x | 4 | 4% |
| 볼린저 밴드 돌파 n=10, k=2.2 |
10.1% | -37.7% | 0.49 | 0.27 | 1.6x | 38 | 15% |
| Parabolic SAR step=0.03, maxStep=0.14 |
0.4% | -58.9% | 0.23 | 0.01 | 1.0x | 128 | 46% |
| Supertrend period=18, mult=2.3 |
-6.1% | -67.7% | 0.07 | -0.09 | 0.7x | 45 | 41% |
| ROC 모멘텀 n=55, threshold=0.09 |
-4.1% | -50.3% | 0.03 | -0.08 | 0.8x | 43 | 27% |
| Keltner 채널 돌파 emaPeriod=34, atrPeriod=7, mult=3.1 |
-0.8% | -32.9% | 0.01 | -0.02 | 1.0x | 6 | 6% |
| Donchian 채널 돌파 entryN=73, exitN=46 |
-6.2% | -58.8% | -0.03 | -0.11 | 0.7x | 8 | 25% |
| SMA 크로스오버 fast=30, slow=89 |
-7.4% | -63.9% | -0.04 | -0.12 | 0.7x | 13 | 33% |
| EMA 크로스오버 fast=42, slow=54 |
-9.6% | -59.5% | -0.11 | -0.16 | 0.6x | 11 | 33% |
| MACD fast=13, slow=48, signal=12 |
-18.7% | -75.9% | -0.21 | -0.25 | 0.3x | 80 | 50% |
| Buy and hold | -23.6% | -91.3% | -0.09 | -0.26 | 0.3x | 1 | 100% |
Rules of the top strategy
Looks at both the direction and the strength of the trend; holds only in a strong uptrend.
- Buy — Buy when up-direction (+DI) beats down-direction (−DI) and trend strength (ADX, 24-day) is ≥ 31
- Sell — Sell when direction flips or the trend weakens (ADX < 31)