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.. 2 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 22.7%, MDD -20.8%).
Results by strategy
2 of 10 beat buy and hold (CAGR 13.5%, drawdown -75.4%).
Sharpe leader (same as main): 볼린저 밴드 돌파 — CAGR 22.7%, MDD -20.8%, Sharpe 0.99, 16% exposure.
Return/drawdown alternative: 볼린저 밴드 돌파 — CAGR is 9.2%p higher than buy and hold, while drawdown improves by 54.6%p (CAGR 22.7%, 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 |
22.7% | -20.8% | 0.99 | 1.09 | 5.3x | 10 | 16% |
| ADX / DI 방향성 period=17, threshold=31 |
12.7% | -18.4% | 0.87 | 0.69 | 2.6x | 8 | 7% |
| Keltner 채널 돌파 emaPeriod=15, atrPeriod=9, mult=2.4 |
14.2% | -32.9% | 0.81 | 0.43 | 2.9x | 14 | 11% |
| Donchian 채널 돌파 entryN=49, exitN=60 |
12.9% | -59.2% | 0.50 | 0.22 | 2.7x | 15 | 59% |
| ROC 모멘텀 n=134, threshold=0.06 |
10.2% | -67.7% | 0.45 | 0.15 | 2.2x | 88 | 43% |
| Supertrend period=9, mult=5 |
8.4% | -63.2% | 0.40 | 0.13 | 1.9x | 20 | 52% |
| SMA 크로스오버 fast=37, slow=114 |
8.3% | -57.7% | 0.40 | 0.14 | 1.9x | 19 | 50% |
| MACD fast=17, slow=54, signal=23 |
5.2% | -83.4% | 0.33 | 0.06 | 1.5x | 86 | 52% |
| EMA 크로스오버 fast=33, slow=211 |
4.4% | -71.0% | 0.30 | 0.06 | 1.4x | 17 | 45% |
| Parabolic SAR step=0.005, maxStep=0.38 |
0.3% | -80.1% | 0.23 | 0.00 | 1.0x | 70 | 56% |
| Buy and hold | 13.5% | -75.4% | 0.53 | 0.18 | 2.8x | 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 45-day average (3× volatility)
- Sell — Sell when the close falls back to the 45-day middle average