Trend-Following Backtester · Guide · backtest 한국어
equity · US
SI-BONE, Inc. backtest
10 trend-following strategies were compared on the full daily history of SI-BONE, Inc.. 7 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 9.0%, MDD -17.5%).
Results by strategy
7 of 10 beat buy and hold (CAGR -0.7%, drawdown -68.8%).
Sharpe leader (same as main): 볼린저 밴드 돌파 — CAGR 9.0%, MDD -17.5%, Sharpe 0.57, 16% exposure.
Return/drawdown alternative: 볼린저 밴드 돌파 — CAGR is 9.8%p higher than buy and hold, while drawdown improves by 51.3%p (CAGR 9.0%, MDD -17.5%, 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=35, k=3.5 |
9.0% | -17.5% | 0.57 | 0.52 | 2.0x | 12 | 16% |
| Donchian 채널 돌파 entryN=39, exitN=8 |
5.5% | -42.6% | 0.35 | 0.13 | 1.5x | 33 | 27% |
| ROC 모멘텀 n=137, threshold=0.08 |
4.4% | -30.0% | 0.30 | 0.15 | 1.4x | 65 | 30% |
| Keltner 채널 돌파 emaPeriod=32, atrPeriod=18, mult=3.2 |
3.1% | -22.1% | 0.26 | 0.14 | 1.3x | 18 | 17% |
| EMA 크로스오버 fast=14, slow=15 |
1.9% | -61.9% | 0.23 | 0.03 | 1.2x | 75 | 51% |
| MACD fast=10, slow=13, signal=14 |
1.4% | -63.3% | 0.22 | 0.02 | 1.1x | 158 | 51% |
| Supertrend period=12, mult=4.2 |
1.4% | -56.3% | 0.22 | 0.02 | 1.1x | 25 | 49% |
| ADX / DI 방향성 period=16, threshold=12 |
-5.0% | -64.3% | 0.03 | -0.08 | 0.7x | 155 | 46% |
| SMA 크로스오버 fast=43, slow=53 |
-5.2% | -56.7% | 0.02 | -0.09 | 0.7x | 53 | 49% |
| Parabolic SAR step=0.015, maxStep=0.24 |
-7.3% | -77.8% | -0.01 | -0.09 | 0.6x | 148 | 52% |
| Buy and hold | -0.7% | -68.8% | 0.26 | -0.01 | 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 35-day average (3.5× volatility)
- Sell — Sell when the close falls back to the 35-day middle average