Trend-Following Backtester · Guide · backtest 한국어
equity · US
Edwards Lifesciences Corporation backtest
10 trend-following strategies were compared on the full daily history of Edwards Lifesciences Corporation. 0 beat buy-and-hold CAGR; SMA 크로스오버 ranks first by Sharpe, matching the main backtester.
Results by strategy
0 of 10 beat buy and hold (CAGR 17.0%, drawdown -54.3%).
Sharpe leader (same as main): SMA 크로스오버 — CAGR 11.7%, MDD -50.9%, Sharpe 0.57, 69% exposure.
No strategy retained at least 75% of buy-and-hold CAGR while reducing drawdown by both 20% relatively and 5 percentage points absolutely.
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=73, slow=206 |
11.7% | -50.9% | 0.57 | 0.23 | 18.4x | 27 | 69% |
| Donchian 채널 돌파 entryN=10, exitN=62 |
10.9% | -57.3% | 0.50 | 0.19 | 15.3x | 75 | 89% |
| EMA 크로스오버 fast=50, slow=205 |
9.7% | -57.8% | 0.49 | 0.17 | 11.4x | 27 | 74% |
| ADX / DI 방향성 period=34, threshold=34 |
1.4% | -8.3% | 0.39 | 0.17 | 1.5x | 6 | 3% |
| ROC 모멘텀 n=86, threshold=-0.04 |
6.2% | -55.1% | 0.37 | 0.11 | 4.9x | 227 | 76% |
| Supertrend period=31, mult=4.8 |
4.8% | -49.3% | 0.32 | 0.10 | 3.4x | 98 | 63% |
| 볼린저 밴드 돌파 n=44, k=3.5 |
0.9% | -34.1% | 0.15 | 0.03 | 1.3x | 30 | 11% |
| Parabolic SAR step=0.015, maxStep=0.12 |
-0.5% | -67.7% | 0.11 | -0.01 | 0.9x | 440 | 56% |
| Keltner 채널 돌파 emaPeriod=44, atrPeriod=16, mult=2 |
-1.7% | -72.0% | 0.03 | -0.02 | 0.6x | 168 | 43% |
| MACD fast=18, slow=50, signal=16 |
-4.2% | -82.0% | -0.06 | -0.05 | 0.3x | 336 | 52% |
| Buy and hold | 17.0% | -54.3% | 0.65 | 0.31 | 62.3x | 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 73-day average price crosses above the 206-day average
- Sell — Sell (to cash) when the 73-day average falls below the 206-day average