Trend-Following Backtester · Guide · backtest 한국어
equity · US
Pacific Biosciences of California, Inc. backtest
10 trend-following strategies were compared on the full daily history of Pacific Biosciences of California, Inc.. 10 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 8.9%, MDD -47.2%).
Results by strategy
10 of 10 beat buy and hold (CAGR -14.6%, drawdown -98.2%).
Sharpe leader (same as main): 볼린저 밴드 돌파 — CAGR 16.6%, MDD -49.0%, Sharpe 0.62, 17% exposure.
CAGR reference leader: ROC 모멘텀 — CAGR 20.4%, MDD -63.2%, exposure 38%.
Return/drawdown alternative: Keltner 채널 돌파 — CAGR is 31.2%p higher than buy and hold, while drawdown improves by 49.3%p (CAGR 8.9%, MDD -47.2%, exposure 8%).
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=33, k=3 |
16.6% | -49.0% | 0.62 | 0.34 | 11.4x | 38 | 17% |
| ROC 모멘텀 n=126, threshold=0.08 |
20.4% | -63.2% | 0.60 | 0.32 | 19.0x | 74 | 38% |
| Donchian 채널 돌파 entryN=63, exitN=58 |
16.6% | -65.2% | 0.53 | 0.25 | 11.3x | 24 | 39% |
| SMA 크로스오버 fast=10, slow=155 |
16.3% | -72.4% | 0.53 | 0.23 | 10.9x | 36 | 37% |
| Keltner 채널 돌파 emaPeriod=18, atrPeriod=18, mult=3.7 |
8.9% | -47.2% | 0.52 | 0.19 | 3.8x | 22 | 8% |
| EMA 크로스오버 fast=17, slow=127 |
13.0% | -73.5% | 0.47 | 0.18 | 6.9x | 34 | 37% |
| Supertrend period=17, mult=4.6 |
9.6% | -75.3% | 0.43 | 0.13 | 4.2x | 44 | 40% |
| ADX / DI 방향성 period=29, threshold=14 |
9.5% | -66.8% | 0.41 | 0.14 | 4.2x | 116 | 31% |
| MACD fast=27, slow=95, signal=15 |
-2.5% | -94.0% | 0.24 | -0.03 | 0.7x | 109 | 53% |
| Parabolic SAR step=0.01, maxStep=0.32 |
-1.3% | -79.8% | 0.23 | -0.02 | 0.8x | 203 | 46% |
| Buy and hold | -14.6% | -98.2% | 0.22 | -0.15 | 0.1x | 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 33-day average (3× volatility)
- Sell — Sell when the close falls back to the 33-day middle average