Trend-Following Backtester · Guide · backtest 한국어
equity · US
Delcath Systems, Inc. backtest
10 trend-following strategies were compared on the full daily history of Delcath Systems, Inc.. 10 beat buy-and-hold CAGR; Supertrend ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is EMA 크로스오버 (CAGR 11.4%, MDD -46.5%).
Results by strategy
10 of 10 beat buy and hold (CAGR -41.0%, drawdown -100.0%).
Sharpe leader (same as main): Supertrend — CAGR 25.6%, MDD -57.1%, Sharpe 0.65, 38% exposure.
Return/drawdown alternative: EMA 크로스오버 — CAGR is 66.6%p higher than buy and hold, while drawdown improves by 42.9%p (CAGR 11.4%, MDD -46.5%, exposure 26%).
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 |
|---|---|---|---|---|---|---|---|
| Supertrend period=30, mult=4.7 |
25.6% | -57.1% | 0.65 | 0.45 | 6.5x | 15 | 38% |
| ROC 모멘텀 n=89, threshold=0.06 |
18.5% | -61.7% | 0.56 | 0.30 | 4.1x | 51 | 33% |
| SMA 크로스오버 fast=15, slow=170 |
14.1% | -56.3% | 0.52 | 0.25 | 3.0x | 11 | 35% |
| EMA 크로스오버 fast=10, slow=200 |
11.4% | -46.5% | 0.49 | 0.25 | 2.4x | 7 | 26% |
| Keltner 채널 돌파 emaPeriod=57, atrPeriod=12, mult=1.7 |
10.9% | -68.8% | 0.43 | 0.16 | 2.3x | 30 | 29% |
| Donchian 채널 돌파 entryN=97, exitN=34 |
7.0% | -55.3% | 0.37 | 0.13 | 1.8x | 9 | 25% |
| Parabolic SAR step=0.025, maxStep=0.18 |
-6.3% | -92.7% | 0.23 | -0.07 | 0.6x | 168 | 42% |
| 볼린저 밴드 돌파 n=16, k=3.4 |
1.7% | -61.2% | 0.21 | 0.03 | 1.1x | 10 | 3% |
| MACD fast=15, slow=44, signal=18 |
-13.2% | -96.7% | 0.16 | -0.14 | 0.3x | 80 | 54% |
| ADX / DI 방향성 period=34, threshold=19 |
-5.9% | -95.0% | 0.15 | -0.06 | 0.6x | 21 | 20% |
| Buy and hold | -41.0% | -100.0% | 0.10 | -0.41 | 0.0x | 1 | 100% |
Rules of the top strategy
Trades the direction of a volatility-based trend line that trails below/above price.
- Buy — Buy when price moves above the trend line (flips up) — 30-day volatility, 4.7× band
- Sell — Sell when price drops below the trend line (flips down)