Trend-Following Backtester · Guide · backtest 한국어
equity · US
Innoviva, Inc. backtest
10 trend-following strategies were compared on the full daily history of Innoviva, Inc.. 5 beat buy-and-hold CAGR; 볼린저 밴드 돌파 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is Keltner 채널 돌파 (CAGR 2.4%, MDD -49.4%).
Results by strategy
5 of 10 beat buy and hold (CAGR 1.6%, drawdown -84.3%).
Sharpe leader (same as main): 볼린저 밴드 돌파 — CAGR 5.0%, MDD -63.1%, Sharpe 0.33, 26% exposure.
Return/drawdown alternative: Keltner 채널 돌파 — CAGR is 3.4%p higher than buy and hold, while drawdown improves by 21.2%p (CAGR 2.4%, MDD -49.4%, 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=16, k=2.1 |
5.0% | -63.1% | 0.33 | 0.08 | 2.9x | 208 | 26% |
| Donchian 채널 돌파 entryN=14, exitN=57 |
2.0% | -66.8% | 0.24 | 0.03 | 1.6x | 74 | 75% |
| SMA 크로스오버 fast=57, slow=181 |
2.5% | -62.1% | 0.23 | 0.04 | 1.7x | 38 | 56% |
| Supertrend period=27, mult=3.3 |
2.2% | -60.4% | 0.22 | 0.04 | 1.6x | 122 | 48% |
| Keltner 채널 돌파 emaPeriod=9, atrPeriod=10, mult=1.1 |
2.4% | -49.4% | 0.22 | 0.05 | 1.7x | 254 | 22% |
| MACD fast=6, slow=30, signal=8 |
0.7% | -72.9% | 0.18 | 0.01 | 1.2x | 539 | 51% |
| ADX / DI 방향성 period=8, threshold=32 |
1.5% | -68.9% | 0.18 | 0.02 | 1.4x | 276 | 24% |
| Parabolic SAR step=0.02, maxStep=0.28 |
-0.3% | -68.5% | 0.14 | -0.00 | 0.9x | 470 | 50% |
| ROC 모멘텀 n=47, threshold=-0.04 |
-1.5% | -69.9% | 0.11 | -0.02 | 0.7x | 346 | 62% |
| EMA 크로스오버 fast=14, slow=69 |
-4.9% | -83.1% | -0.03 | -0.06 | 0.3x | 114 | 51% |
| Buy and hold | 1.6% | -84.3% | 0.26 | 0.02 | 1.4x | 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 16-day average (2.1× volatility)
- Sell — Sell when the close falls back to the 16-day middle average