Trend-Following Backtester · Guide · backtest 한국어
equity · US
Establishment Labs Holdings Inc. backtest
10 trend-following strategies were compared on the full daily history of Establishment Labs Holdings Inc.. 1 beat buy-and-hold CAGR; 볼린저 밴드 돌파 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is 볼린저 밴드 돌파 (CAGR 25.5%, MDD -20.8%).
Results by strategy
1 of 10 beat buy and hold (CAGR 17.8%, drawdown -75.4%).
Sharpe leader (same as main): 볼린저 밴드 돌파 — CAGR 25.5%, MDD -20.8%, Sharpe 1.10, 16% exposure.
Return/drawdown alternative: 볼린저 밴드 돌파 — CAGR is 7.7%p higher than buy and hold, while drawdown improves by 54.6%p (CAGR 25.5%, MDD -20.8%, exposure 16%).
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=45, k=3 |
25.5% | -20.8% | 1.10 | 1.22 | 6.2x | 9 | 16% |
| ADX / DI 방향성 period=17, threshold=31 |
12.8% | -18.4% | 0.87 | 0.70 | 2.6x | 8 | 7% |
| Keltner 채널 돌파 emaPeriod=15, atrPeriod=9, mult=2.4 |
14.3% | -32.9% | 0.81 | 0.44 | 2.9x | 14 | 11% |
| Donchian 채널 돌파 entryN=49, exitN=60 |
17.2% | -59.2% | 0.58 | 0.29 | 3.6x | 15 | 59% |
| ROC 모멘텀 n=134, threshold=0.06 |
13.9% | -67.7% | 0.55 | 0.21 | 2.8x | 85 | 43% |
| SMA 크로스오버 fast=37, slow=114 |
12.4% | -57.7% | 0.49 | 0.21 | 2.6x | 19 | 49% |
| Supertrend period=9, mult=5 |
11.5% | -63.2% | 0.47 | 0.18 | 2.4x | 19 | 52% |
| EMA 크로스오버 fast=33, slow=211 |
8.2% | -71.0% | 0.40 | 0.12 | 1.9x | 17 | 45% |
| MACD fast=17, slow=54, signal=23 |
5.3% | -83.4% | 0.33 | 0.06 | 1.5x | 86 | 52% |
| Parabolic SAR step=0.005, maxStep=0.38 |
2.4% | -80.1% | 0.27 | 0.03 | 1.2x | 69 | 56% |
| Buy and hold | 17.8% | -75.4% | 0.58 | 0.24 | 3.7x | 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 45-day average (3× volatility)
- Sell — Sell when the close falls back to the 45-day middle average