Trend-Following Backtester · Guide · backtest 한국어
equity · US
Ginkgo Bioworks Holdings, Inc. backtest
10 trend-following strategies were compared on the full daily history of Ginkgo Bioworks Holdings, Inc.. 10 beat buy-and-hold CAGR; 볼린저 밴드 돌파 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is Keltner 채널 돌파 (CAGR 0.1%, MDD -13.2%).
Results by strategy
10 of 10 beat buy and hold (CAGR -53.3%, drawdown -99.1%).
Sharpe leader (same as main): 볼린저 밴드 돌파 — CAGR 7.3%, MDD -31.7%, Sharpe 0.39, 9% exposure.
Return/drawdown alternative: Keltner 채널 돌파 — CAGR is 60.7%p higher than buy and hold, while drawdown improves by 67.4%p (CAGR 0.1%, MDD -13.2%, exposure 1%).
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=39, k=3.3 |
7.3% | -31.7% | 0.39 | 0.23 | 1.5x | 6 | 9% |
| SMA 크로스오버 fast=39, slow=69 |
-4.1% | -64.8% | 0.25 | -0.06 | 0.8x | 20 | 38% |
| MACD fast=30, slow=58, signal=23 |
-15.3% | -83.6% | 0.15 | -0.18 | 0.4x | 30 | 53% |
| ADX / DI 방향성 period=24, threshold=21 |
-3.8% | -62.9% | 0.09 | -0.06 | 0.8x | 18 | 14% |
| Keltner 채널 돌파 emaPeriod=11, atrPeriod=16, mult=3 |
0.1% | -13.2% | 0.05 | 0.01 | 1.0x | 2 | 1% |
| Supertrend period=20, mult=4.5 |
-10.3% | -56.3% | 0.02 | -0.18 | 0.6x | 14 | 30% |
| ROC 모멘텀 n=59, threshold=0.05 |
-16.1% | -66.2% | -0.03 | -0.24 | 0.4x | 56 | 28% |
| Donchian 채널 돌파 entryN=67, exitN=43 |
-13.7% | -66.6% | -0.04 | -0.21 | 0.5x | 8 | 24% |
| EMA 크로스오버 fast=39, slow=52 |
-17.1% | -71.9% | -0.11 | -0.24 | 0.4x | 14 | 26% |
| Parabolic SAR step=0.035, maxStep=0.22 |
-36.5% | -96.0% | -0.40 | -0.38 | 0.1x | 153 | 42% |
| Buy and hold | -53.3% | -99.1% | -0.32 | -0.54 | 0.0x | 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 39-day average (3.3× volatility)
- Sell — Sell when the close falls back to the 39-day middle average