Trend-Following Backtester · Guide · backtest 한국어
equity · US
iRadimed Corporation backtest
10 trend-following strategies were compared on the full daily history of iRadimed Corporation. 3 beat buy-and-hold CAGR; SMA 크로스오버 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is SMA 크로스오버 (CAGR 24.5%, MDD -52.4%).
Results by strategy
3 of 10 beat buy and hold (CAGR 19.5%, drawdown -75.8%).
Sharpe leader (same as main): SMA 크로스오버 — CAGR 24.5%, MDD -52.4%, Sharpe 0.79, 64% exposure.
Return/drawdown alternative: SMA 크로스오버 — CAGR is 5.0%p higher than buy and hold, while drawdown improves by 23.4%p (CAGR 24.5%, MDD -52.4%, exposure 64%).
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 |
|---|---|---|---|---|---|---|---|
| SMA 크로스오버 fast=22, slow=59 |
24.5% | -52.4% | 0.79 | 0.47 | 14.3x | 54 | 64% |
| Keltner 채널 돌파 emaPeriod=56, atrPeriod=8, mult=4 |
14.5% | -39.4% | 0.75 | 0.37 | 5.2x | 16 | 24% |
| EMA 크로스오버 fast=27, slow=52 |
21.9% | -52.6% | 0.75 | 0.42 | 11.0x | 38 | 61% |
| ADX / DI 방향성 period=39, threshold=12 |
19.7% | -55.5% | 0.72 | 0.36 | 8.9x | 78 | 48% |
| ROC 모멘텀 n=81, threshold=0.09 |
16.8% | -54.0% | 0.64 | 0.31 | 6.6x | 108 | 48% |
| Donchian 채널 돌파 entryN=64, exitN=39 |
17.3% | -66.8% | 0.64 | 0.26 | 6.9x | 24 | 59% |
| Supertrend period=9, mult=4.5 |
16.1% | -55.1% | 0.59 | 0.29 | 6.1x | 29 | 65% |
| 볼린저 밴드 돌파 n=48, k=3 |
10.4% | -49.7% | 0.56 | 0.21 | 3.3x | 34 | 27% |
| MACD fast=17, slow=29, signal=13 |
4.7% | -60.9% | 0.30 | 0.08 | 1.7x | 180 | 51% |
| Parabolic SAR step=0.015, maxStep=0.14 |
2.2% | -66.7% | 0.23 | 0.03 | 1.3x | 184 | 53% |
| Buy and hold | 19.5% | -75.8% | 0.61 | 0.26 | 8.7x | 1 | 100% |
Rules of the top strategy
When the short average rises above the long average, it reads that as an uptrend starting.
- Buy — Buy when the 22-day average price crosses above the 59-day average
- Sell — Sell (to cash) when the 22-day average falls below the 59-day average