Trend-Following Backtester · Guide · backtest 한국어
equity · US
Boston Scientific Corporation backtest
10 trend-following strategies were compared on the full daily history of Boston Scientific Corporation. 2 beat buy-and-hold CAGR; SMA 크로스오버 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is EMA 크로스오버 (CAGR 9.7%, MDD -57.2%).
Results by strategy
2 of 10 beat buy and hold (CAGR 7.2%, drawdown -89.2%).
Sharpe leader (same as main): SMA 크로스오버 — CAGR 10.2%, MDD -64.3%, Sharpe 0.51, 57% exposure.
Return/drawdown alternative: EMA 크로스오버 — CAGR is 2.9%p higher than buy and hold, while drawdown improves by 24.9%p (CAGR 9.7%, MDD -57.2%, exposure 58%).
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 |
|---|---|---|---|---|---|---|---|
| SMA 크로스오버 fast=40, slow=110 |
10.2% | -64.3% | 0.51 | 0.16 | 27.4x | 70 | 57% |
| EMA 크로스오버 fast=17, slow=286 |
9.7% | -57.2% | 0.50 | 0.17 | 23.4x | 44 | 58% |
| Keltner 채널 돌파 emaPeriod=59, atrPeriod=22, mult=4 |
5.7% | -47.4% | 0.43 | 0.12 | 6.6x | 64 | 27% |
| ADX / DI 방향성 period=30, threshold=23 |
4.0% | -29.6% | 0.40 | 0.14 | 3.9x | 58 | 14% |
| 볼린저 밴드 돌파 n=48, k=2.6 |
5.0% | -37.1% | 0.40 | 0.14 | 5.4x | 88 | 24% |
| Supertrend period=24, mult=5 |
6.9% | -67.9% | 0.40 | 0.10 | 9.9x | 98 | 58% |
| Donchian 채널 돌파 entryN=74, exitN=44 |
5.3% | -57.2% | 0.35 | 0.09 | 5.8x | 74 | 50% |
| ROC 모멘텀 n=96, threshold=-0.04 |
4.3% | -80.9% | 0.29 | 0.05 | 4.2x | 284 | 65% |
| Parabolic SAR step=0.015, maxStep=0.08 |
-7.1% | -97.2% | -0.15 | -0.07 | 0.1x | 553 | 54% |
| MACD fast=31, slow=56, signal=12 |
-7.0% | -95.2% | -0.17 | -0.07 | 0.1x | 381 | 50% |
| Buy and hold | 7.2% | -89.2% | 0.38 | 0.08 | 10.9x | 1 | 100% |
Rules of the top strategy
When the short average rises above the long average, it reads that as an uptrend starting.
- Buy — Buy when the 40-day average price crosses above the 110-day average
- Sell — Sell (to cash) when the 40-day average falls below the 110-day average