Trend-Following Backtester · Guide · backtest 한국어
equity · US
Guardant Health, Inc. backtest
10 trend-following strategies were compared on the full daily history of Guardant Health, Inc.. 6 beat buy-and-hold CAGR; ADX / DI 방향성 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is ROC 모멘텀 (CAGR 24.7%, MDD -39.1%).
Results by strategy
6 of 10 beat buy and hold (CAGR 22.9%, drawdown -91.0%).
Sharpe leader (same as main): ADX / DI 방향성 — CAGR 29.3%, MDD -46.9%, Sharpe 0.83, 43% exposure.
Return/drawdown alternative: ROC 모멘텀 — CAGR is 6.4%p higher than buy and hold, while drawdown improves by 44.1%p (CAGR 24.7%, MDD -39.1%, exposure 43%).
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=31, threshold=11 |
29.3% | -46.9% | 0.83 | 0.62 | 7.5x | 71 | 43% |
| Keltner 채널 돌파 emaPeriod=58, atrPeriod=16, mult=3.1 |
25.2% | -44.9% | 0.81 | 0.56 | 5.8x | 19 | 30% |
| 볼린저 밴드 돌파 n=21, k=2.5 |
19.9% | -44.9% | 0.76 | 0.44 | 4.1x | 34 | 20% |
| SMA 크로스오버 fast=5, slow=69 |
27.7% | -67.9% | 0.76 | 0.41 | 6.8x | 41 | 54% |
| EMA 크로스오버 fast=7, slow=38 |
27.5% | -59.3% | 0.75 | 0.46 | 6.7x | 61 | 54% |
| ROC 모멘텀 n=69, threshold=0.13 |
24.7% | -39.1% | 0.74 | 0.63 | 5.6x | 53 | 43% |
| Supertrend period=18, mult=3.1 |
24.8% | -56.9% | 0.71 | 0.44 | 5.6x | 48 | 49% |
| Donchian 채널 돌파 entryN=47, exitN=29 |
22.2% | -54.2% | 0.68 | 0.41 | 4.8x | 21 | 45% |
| Parabolic SAR step=0.025, maxStep=0.3 |
22.2% | -65.5% | 0.66 | 0.34 | 4.8x | 189 | 52% |
| MACD fast=11, slow=22, signal=19 |
14.6% | -79.2% | 0.52 | 0.18 | 2.9x | 120 | 53% |
| Buy and hold | 22.9% | -91.0% | 0.64 | 0.25 | 5.0x | 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, 31-day) is ≥ 11
- Sell — Sell when direction flips or the trend weakens (ADX < 11)