Trend-Following Backtester · Guide · backtest 한국어
equity · US
Privia Health Group, Inc. backtest
10 trend-following strategies were compared on the full daily history of Privia Health Group, Inc.. 4 beat buy-and-hold CAGR; 볼린저 밴드 돌파 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is 볼린저 밴드 돌파 (CAGR 7.3%, MDD -33.1%).
Results by strategy
4 of 10 beat buy and hold (CAGR -2.2%, drawdown -67.3%).
Sharpe leader (same as main): 볼린저 밴드 돌파 — CAGR 7.3%, MDD -33.1%, Sharpe 0.49, 16% exposure.
Return/drawdown alternative: 볼린저 밴드 돌파 — CAGR is 9.5%p higher than buy and hold, while drawdown improves by 34.2%p (CAGR 7.3%, MDD -33.1%, exposure 16%).
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=11, k=2.3 |
7.3% | -33.1% | 0.49 | 0.22 | 1.5x | 32 | 16% |
| Keltner 채널 돌파 emaPeriod=16, atrPeriod=13, mult=1.5 |
3.5% | -40.4% | 0.27 | 0.09 | 1.2x | 34 | 21% |
| ADX / DI 방향성 period=10, threshold=23 |
0.1% | -49.6% | 0.13 | 0.00 | 1.0x | 76 | 31% |
| SMA 크로스오버 fast=56, slow=105 |
-0.5% | -45.6% | 0.12 | -0.01 | 1.0x | 11 | 38% |
| Supertrend period=13, mult=2.3 |
-2.3% | -59.6% | 0.08 | -0.04 | 0.9x | 48 | 45% |
| Donchian 채널 돌파 entryN=51, exitN=67 |
-5.5% | -52.9% | -0.03 | -0.10 | 0.7x | 9 | 50% |
| MACD fast=19, slow=53, signal=18 |
-8.8% | -70.4% | -0.13 | -0.13 | 0.6x | 50 | 46% |
| ROC 모멘텀 n=146, threshold=0.1 |
-5.2% | -43.0% | -0.16 | -0.12 | 0.8x | 38 | 22% |
| EMA 크로스오버 fast=39, slow=104 |
-11.3% | -62.2% | -0.39 | -0.18 | 0.5x | 16 | 35% |
| Parabolic SAR step=0.025, maxStep=0.24 |
-18.1% | -80.8% | -0.43 | -0.22 | 0.3x | 138 | 48% |
| Buy and hold | -2.2% | -67.3% | 0.21 | -0.03 | 0.9x | 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 11-day average (2.3× volatility)
- Sell — Sell when the close falls back to the 11-day middle average