Trend-Following Backtester · Guide · backtest 한국어
equity · US
Senseonics Holdings, Inc. backtest
10 trend-following strategies were compared on the full daily history of Senseonics Holdings, Inc.. 10 beat buy-and-hold CAGR; Keltner 채널 돌파 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is Keltner 채널 돌파 (CAGR 21.5%, MDD -43.9%).
Results by strategy
10 of 10 beat buy and hold (CAGR -16.7%, drawdown -95.4%).
Sharpe leader (same as main): Keltner 채널 돌파 — CAGR 21.5%, MDD -43.9%, Sharpe 0.66, 4% exposure.
Return/drawdown alternative: Keltner 채널 돌파 — CAGR is 38.2%p higher than buy and hold, while drawdown improves by 51.5%p (CAGR 21.5%, MDD -43.9%, exposure 4%).
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 |
|---|---|---|---|---|---|---|---|
| Keltner 채널 돌파 emaPeriod=11, atrPeriod=23, mult=3.7 |
21.5% | -43.9% | 0.66 | 0.49 | 8.0x | 11 | 4% |
| MACD fast=10, slow=28, signal=7 |
14.6% | -71.0% | 0.51 | 0.21 | 4.3x | 191 | 53% |
| EMA 크로스오버 fast=43, slow=153 |
13.0% | -67.6% | 0.46 | 0.19 | 3.7x | 9 | 27% |
| 볼린저 밴드 돌파 n=59, k=3.5 |
13.2% | -59.4% | 0.45 | 0.22 | 3.8x | 8 | 6% |
| Donchian 채널 돌파 entryN=151, exitN=22 |
11.9% | -65.8% | 0.42 | 0.18 | 3.3x | 11 | 8% |
| SMA 크로스오버 fast=20, slow=245 |
10.3% | -67.6% | 0.42 | 0.15 | 2.9x | 9 | 25% |
| ADX / DI 방향성 period=9, threshold=23 |
8.5% | -75.8% | 0.41 | 0.11 | 2.4x | 193 | 35% |
| Parabolic SAR step=0.01, maxStep=0.16 |
6.5% | -82.1% | 0.39 | 0.08 | 2.0x | 133 | 41% |
| Supertrend period=9, mult=3 |
1.1% | -85.8% | 0.31 | 0.01 | 1.1x | 73 | 40% |
| ROC 모멘텀 n=133, threshold=0.05 |
1.7% | -86.4% | 0.30 | 0.02 | 1.2x | 69 | 29% |
| Buy and hold | -16.7% | -95.4% | 0.22 | -0.18 | 0.1x | 1 | 100% |
Rules of the top strategy
Breaking above the channel top (average plus a multiple of volatility) signals an upside breakout.
- Buy — Buy when the close breaks above the 11-day average + 3.7× volatility (Keltner top)
- Sell — Sell when the close falls back to the 11-day average