Trend-Following Backtester · Guide · backtest 한국어
equity · US
Maravai LifeSciences Holdings, Inc. backtest
10 trend-following strategies were compared on the full daily history of Maravai LifeSciences Holdings, Inc.. 9 beat buy-and-hold CAGR; Supertrend ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is ADX / DI 방향성 (CAGR 4.6%, MDD -15.1%).
Results by strategy
9 of 10 beat buy and hold (CAGR -21.1%, drawdown -97.2%).
Sharpe leader (same as main): Supertrend — CAGR 20.9%, MDD -57.9%, Sharpe 0.60, 47% exposure.
Return/drawdown alternative: ADX / DI 방향성 — CAGR is 42.0%p higher than buy and hold, while drawdown improves by 39.3%p (CAGR 4.6%, MDD -15.1%, exposure 3%).
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 |
|---|---|---|---|---|---|---|---|
| Supertrend period=15, mult=5 |
20.9% | -57.9% | 0.60 | 0.36 | 3.0x | 11 | 47% |
| SMA 크로스오버 fast=45, slow=107 |
15.1% | -51.8% | 0.55 | 0.29 | 2.3x | 13 | 37% |
| Donchian 채널 돌파 entryN=58, exitN=8 |
9.7% | -25.5% | 0.52 | 0.38 | 1.7x | 15 | 12% |
| EMA 크로스오버 fast=53, slow=71 |
11.8% | -53.3% | 0.48 | 0.22 | 1.9x | 9 | 34% |
| ADX / DI 방향성 period=27, threshold=29 |
4.6% | -15.1% | 0.46 | 0.30 | 1.3x | 5 | 3% |
| ROC 모멘텀 n=64, threshold=-0.01 |
6.8% | -71.0% | 0.36 | 0.10 | 1.5x | 55 | 43% |
| 볼린저 밴드 돌파 n=20, k=2.6 |
4.8% | -34.8% | 0.32 | 0.14 | 1.3x | 21 | 15% |
| Keltner 채널 돌파 emaPeriod=23, atrPeriod=12, mult=3.1 |
1.1% | -41.3% | 0.15 | 0.03 | 1.1x | 9 | 9% |
| MACD fast=9, slow=24, signal=8 |
-21.0% | -93.5% | -0.15 | -0.22 | 0.3x | 129 | 50% |
| Parabolic SAR step=0.025, maxStep=0.22 |
-23.8% | -94.4% | -0.31 | -0.25 | 0.2x | 129 | 49% |
| Buy and hold | -21.1% | -97.2% | 0.04 | -0.22 | 0.3x | 1 | 100% |
Rules of the top strategy
Trades the direction of a volatility-based trend line that trails below/above price.
- Buy — Buy when price moves above the trend line (flips up) — 15-day volatility, 5× band
- Sell — Sell when price drops below the trend line (flips down)