Trend-Following Backtester · Guide · backtest 한국어
equity · US
STAAR Surgical Company backtest
10 trend-following strategies were compared on the full daily history of STAAR Surgical Company. 9 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 8.2%, MDD -58.8%).
Results by strategy
9 of 10 beat buy and hold (CAGR 1.3%, drawdown -95.6%).
Sharpe leader (same as main): 볼린저 밴드 돌파 — CAGR 8.2%, MDD -58.8%, Sharpe 0.42, 13% exposure.
Return/drawdown alternative: 볼린저 밴드 돌파 — CAGR is 6.9%p higher than buy and hold, while drawdown improves by 36.8%p (CAGR 8.2%, MDD -58.8%, exposure 13%).
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=37, k=3.4 |
8.2% | -58.8% | 0.42 | 0.14 | 15.3x | 60 | 13% |
| Donchian 채널 돌파 entryN=17, exitN=62 |
6.3% | -94.7% | 0.38 | 0.07 | 8.2x | 102 | 73% |
| SMA 크로스오버 fast=32, slow=146 |
7.3% | -74.5% | 0.37 | 0.10 | 11.3x | 63 | 49% |
| Parabolic SAR step=0.005, maxStep=0.14 |
5.5% | -85.9% | 0.34 | 0.06 | 6.4x | 250 | 49% |
| Keltner 채널 돌파 emaPeriod=18, atrPeriod=10, mult=1.2 |
5.6% | -69.9% | 0.32 | 0.08 | 6.5x | 342 | 31% |
| EMA 크로스오버 fast=35, slow=207 |
5.1% | -81.5% | 0.32 | 0.06 | 5.6x | 59 | 50% |
| MACD fast=22, slow=40, signal=22 |
3.8% | -87.6% | 0.32 | 0.04 | 3.6x | 318 | 50% |
| ROC 모멘텀 n=108, threshold=0.13 |
3.5% | -78.6% | 0.27 | 0.04 | 3.3x | 255 | 38% |
| Supertrend period=21, mult=3.4 |
1.7% | -93.8% | 0.25 | 0.02 | 1.8x | 172 | 49% |
| ADX / DI 방향성 period=42, threshold=13 |
0.5% | -93.1% | 0.18 | 0.01 | 1.2x | 188 | 31% |
| Buy and hold | 1.3% | -95.6% | 0.36 | 0.01 | 1.6x | 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 37-day average (3.4× volatility)
- Sell — Sell when the close falls back to the 37-day middle average