Trend-Following Backtester · Guide · backtest 한국어
equity · US
Evolus, Inc. Common Stock backtest
10 trend-following strategies were compared on the full daily history of Evolus, Inc. Common Stock. 10 beat buy-and-hold CAGR; 볼린저 밴드 돌파 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is Donchian 채널 돌파 (CAGR 26.3%, MDD -58.0%).
Results by strategy
10 of 10 beat buy and hold (CAGR -2.8%, drawdown -92.4%).
Sharpe leader (same as main): 볼린저 밴드 돌파 — CAGR 34.5%, MDD -58.0%, Sharpe 0.81, 28% exposure.
Return/drawdown alternative: Donchian 채널 돌파 — CAGR is 37.3%p higher than buy and hold, while drawdown improves by 34.4%p (CAGR 26.3%, MDD -58.0%, 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 |
|---|---|---|---|---|---|---|---|
| 볼린저 밴드 돌파 n=18, k=1.9 |
34.5% | -58.0% | 0.81 | 0.60 | 12.7x | 79 | 28% |
| MACD fast=14, slow=48, signal=11 |
32.6% | -75.3% | 0.74 | 0.43 | 11.2x | 113 | 52% |
| Keltner 채널 돌파 emaPeriod=18, atrPeriod=17, mult=2.1 |
28.4% | -59.0% | 0.74 | 0.48 | 8.5x | 41 | 21% |
| Donchian 채널 돌파 entryN=25, exitN=5 |
26.3% | -58.0% | 0.70 | 0.45 | 7.4x | 55 | 22% |
| ADX / DI 방향성 period=10, threshold=28 |
22.4% | -58.7% | 0.63 | 0.38 | 5.6x | 87 | 28% |
| Parabolic SAR step=0.01, maxStep=0.1 |
18.5% | -76.9% | 0.56 | 0.24 | 4.3x | 107 | 48% |
| Supertrend period=22, mult=1.9 |
18.1% | -62.9% | 0.56 | 0.29 | 4.1x | 97 | 35% |
| ROC 모멘텀 n=18, threshold=-0.03 |
17.4% | -78.4% | 0.55 | 0.22 | 4.0x | 203 | 54% |
| SMA 크로스오버 fast=5, slow=59 |
6.3% | -85.7% | 0.38 | 0.07 | 1.7x | 59 | 42% |
| EMA 크로스오버 fast=17, slow=34 |
3.0% | -86.3% | 0.33 | 0.03 | 1.3x | 47 | 42% |
| Buy and hold | -2.8% | -92.4% | 0.35 | -0.03 | 0.8x | 1 | 100% |
Rules of the top strategy
Breaking above the upper band (average plus a multiple of volatility) signals a strong move up.
- Buy — Buy when the close breaks above the upper band of the 18-day average (1.9× volatility)
- Sell — Sell when the close falls back to the 18-day middle average