Trend-Following Backtester · Guide · backtest 한국어
equity · US
Sotera Health Company backtest
10 trend-following strategies were compared on the full daily history of Sotera Health Company. 9 beat buy-and-hold CAGR; Supertrend ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is Keltner 채널 돌파 (CAGR 3.3%, MDD -13.7%).
Results by strategy
9 of 10 beat buy and hold (CAGR -5.9%, drawdown -79.5%).
Sharpe leader (same as main): Supertrend — CAGR 18.5%, MDD -31.8%, Sharpe 0.52, 47% exposure.
Return/drawdown alternative: Keltner 채널 돌파 — CAGR is 24.4%p higher than buy and hold, while drawdown improves by 47.7%p (CAGR 3.3%, MDD -13.7%, exposure 11%).
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=3.3 |
18.5% | -31.8% | 0.52 | 0.58 | 2.6x | 23 | 47% |
| ADX / DI 방향성 period=27, threshold=17 |
17.8% | -23.2% | 0.52 | 0.77 | 2.5x | 22 | 24% |
| MACD fast=16, slow=38, signal=18 |
14.1% | -57.9% | 0.45 | 0.24 | 2.1x | 56 | 50% |
| 볼린저 밴드 돌파 n=18, k=3 |
4.2% | -14.5% | 0.43 | 0.29 | 1.3x | 10 | 9% |
| ROC 모멘텀 n=56, threshold=0.08 |
8.9% | -33.5% | 0.34 | 0.27 | 1.6x | 59 | 31% |
| Keltner 채널 돌파 emaPeriod=17, atrPeriod=26, mult=2.6 |
3.3% | -13.7% | 0.34 | 0.24 | 1.2x | 14 | 11% |
| Donchian 채널 돌파 entryN=10, exitN=44 |
7.1% | -64.6% | 0.33 | 0.11 | 1.5x | 25 | 69% |
| SMA 크로스오버 fast=9, slow=75 |
2.6% | -38.1% | 0.22 | 0.07 | 1.2x | 27 | 41% |
| EMA 크로스오버 fast=14, slow=27 |
-4.4% | -66.6% | 0.08 | -0.07 | 0.8x | 51 | 47% |
| Parabolic SAR step=0.025, maxStep=0.38 |
-6.2% | -64.1% | 0.05 | -0.10 | 0.7x | 146 | 53% |
| Buy and hold | -5.9% | -79.5% | 0.16 | -0.07 | 0.7x | 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, 3.3× band
- Sell — Sell when price drops below the trend line (flips down)