Trend-Following Backtester · Guide · backtest 한국어
equity · US
Avantor, Inc. backtest
10 trend-following strategies were compared on the full daily history of Avantor, Inc.. 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 8.1%, MDD -17.2%).
Results by strategy
9 of 10 beat buy and hold (CAGR -0.8%, drawdown -83.2%).
Sharpe leader (same as main): 볼린저 밴드 돌파 — CAGR 8.1%, MDD -17.2%, Sharpe 0.63, 11% exposure.
CAGR reference leader: Supertrend — CAGR 13.5%, MDD -46.8%, exposure 44%.
Return/drawdown alternative: 볼린저 밴드 돌파 — CAGR is 8.9%p higher than buy and hold, while drawdown improves by 66.0%p (CAGR 8.1%, MDD -17.2%, 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 |
|---|---|---|---|---|---|---|---|
| 볼린저 밴드 돌파 n=54, k=3.2 |
8.1% | -17.2% | 0.63 | 0.47 | 1.8x | 5 | 11% |
| ADX / DI 방향성 period=31, threshold=16 |
11.4% | -26.2% | 0.63 | 0.44 | 2.2x | 29 | 24% |
| SMA 크로스오버 fast=25, slow=208 |
10.8% | -32.5% | 0.61 | 0.33 | 2.1x | 11 | 36% |
| Supertrend period=16, mult=3.7 |
13.5% | -46.8% | 0.60 | 0.29 | 2.5x | 27 | 44% |
| EMA 크로스오버 fast=10, slow=217 |
10.7% | -37.8% | 0.59 | 0.28 | 2.1x | 7 | 36% |
| Donchian 채널 돌파 entryN=23, exitN=25 |
13.0% | -57.4% | 0.58 | 0.23 | 2.4x | 25 | 49% |
| ROC 모멘텀 n=113, threshold=0.15 |
7.4% | -21.3% | 0.54 | 0.35 | 1.7x | 35 | 22% |
| Keltner 채널 돌파 emaPeriod=50, atrPeriod=25, mult=1.8 |
7.9% | -46.4% | 0.45 | 0.17 | 1.7x | 27 | 33% |
| MACD fast=21, slow=46, signal=21 |
0.9% | -71.4% | 0.19 | 0.01 | 1.1x | 63 | 51% |
| Parabolic SAR step=0.005, maxStep=0.22 |
-3.5% | -79.3% | 0.03 | -0.04 | 0.8x | 65 | 50% |
| Buy and hold | -0.8% | -83.2% | 0.20 | -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 54-day average (3.2× volatility)
- Sell — Sell when the close falls back to the 54-day middle average