Trend-Following Backtester · Guide · backtest 한국어
equity · US
QuidelOrtho Corporation backtest
10 trend-following strategies were compared on the full daily history of QuidelOrtho Corporation. 2 beat buy-and-hold CAGR; MACD ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is ADX / DI 방향성 (CAGR 3.6%, MDD -54.2%).
Results by strategy
2 of 10 beat buy and hold (CAGR 3.4%, drawdown -96.7%).
Sharpe leader (same as main): MACD — CAGR 3.7%, MDD -91.4%, Sharpe 0.30, 51% exposure.
Return/drawdown alternative: ADX / DI 방향성 — CAGR is 0.3%p higher than buy and hold, while drawdown improves by 5.3%p (CAGR 3.6%, MDD -54.2%, exposure 6%).
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 |
|---|---|---|---|---|---|---|---|
| MACD fast=18, slow=42, signal=19 |
3.7% | -91.4% | 0.30 | 0.04 | 3.6x | 368 | 51% |
| ADX / DI 방향성 period=32, threshold=26 |
3.6% | -54.2% | 0.30 | 0.07 | 3.5x | 42 | 6% |
| SMA 크로스오버 fast=9, slow=34 |
3.2% | -81.6% | 0.28 | 0.04 | 3.0x | 285 | 51% |
| Supertrend period=5, mult=3 |
2.0% | -89.3% | 0.26 | 0.02 | 2.0x | 219 | 52% |
| Parabolic SAR step=0.01, maxStep=0.22 |
0.6% | -89.9% | 0.22 | 0.01 | 1.2x | 453 | 50% |
| Donchian 채널 돌파 entryN=95, exitN=42 |
1.7% | -77.2% | 0.21 | 0.02 | 1.8x | 66 | 34% |
| Keltner 채널 돌파 emaPeriod=46, atrPeriod=7, mult=4 |
2.0% | -45.7% | 0.21 | 0.04 | 2.1x | 38 | 10% |
| ROC 모멘텀 n=133, threshold=0.04 |
-0.1% | -87.3% | 0.19 | -0.00 | 1.0x | 324 | 44% |
| 볼린저 밴드 돌파 n=41, k=1.6 |
-0.7% | -91.3% | 0.15 | -0.01 | 0.8x | 227 | 36% |
| EMA 크로스오버 fast=30, slow=118 |
-1.8% | -89.7% | 0.14 | -0.02 | 0.5x | 112 | 46% |
| Buy and hold | 3.4% | -96.7% | 0.36 | 0.03 | 3.3x | 1 | 100% |
Rules of the top strategy
Looks at the gap (MACD) between a short and long average crossing its own signal line.
- Buy — Buy when the MACD line (18/42) crosses above its 19-day signal line
- Sell — Sell when the MACD line crosses back below the signal line