Trend-Following Backtester · Guide · backtest 한국어
equity · US
Agilent Technologies, Inc. backtest
10 trend-following strategies were compared on the full daily history of Agilent Technologies, Inc.. 5 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 8.1%, MDD -43.6%).
Results by strategy
5 of 10 beat buy and hold (CAGR 5.7%, drawdown -93.2%).
Sharpe leader (same as main): 볼린저 밴드 돌파 — CAGR 8.1%, MDD -43.6%, Sharpe 0.46, 43% exposure.
CAGR reference leader: Donchian 채널 돌파 — CAGR 9.0%, MDD -68.7%, exposure 64%.
Return/drawdown alternative: 볼린저 밴드 돌파 — CAGR is 2.4%p higher than buy and hold, while drawdown improves by 49.5%p (CAGR 8.1%, MDD -43.6%, exposure 43%).
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=55, k=1.4 |
8.1% | -43.6% | 0.46 | 0.18 | 7.9x | 119 | 43% |
| Donchian 채널 돌파 entryN=15, exitN=28 |
9.0% | -68.7% | 0.44 | 0.13 | 10.0x | 137 | 64% |
| EMA 크로스오버 fast=33, slow=35 |
8.0% | -68.4% | 0.43 | 0.12 | 7.8x | 103 | 57% |
| Supertrend period=12, mult=3.1 |
7.4% | -62.5% | 0.40 | 0.12 | 6.7x | 173 | 54% |
| SMA 크로스오버 fast=13, slow=92 |
5.8% | -61.4% | 0.36 | 0.10 | 4.6x | 97 | 57% |
| Keltner 채널 돌파 emaPeriod=59, atrPeriod=17, mult=3 |
3.8% | -61.9% | 0.28 | 0.06 | 2.7x | 95 | 36% |
| ROC 모멘텀 n=59, threshold=0 |
3.1% | -80.4% | 0.24 | 0.04 | 2.2x | 249 | 58% |
| Parabolic SAR step=0.005, maxStep=0.24 |
3.0% | -75.1% | 0.24 | 0.04 | 2.2x | 225 | 54% |
| MACD fast=22, slow=39, signal=24 |
1.6% | -86.2% | 0.19 | 0.02 | 1.5x | 253 | 51% |
| ADX / DI 방향성 period=22, threshold=34 |
0.5% | -53.3% | 0.09 | 0.01 | 1.1x | 40 | 5% |
| Buy and hold | 5.7% | -93.2% | 0.34 | 0.06 | 4.4x | 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 55-day average (1.4× volatility)
- Sell — Sell when the close falls back to the 55-day middle average