Trend-Following Backtester · Guide · backtest 한국어
equity · HK
Innovent Biologics, Inc. backtest
10 trend-following strategies were compared on the full daily history of Innovent Biologics, Inc.. 0 beat buy-and-hold CAGR; Donchian 채널 돌파 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is Donchian 채널 돌파 (CAGR 25.3%, MDD -45.2%).
Results by strategy
0 of 10 beat buy and hold (CAGR 26.3%, drawdown -82.0%).
Sharpe leader (same as main): Donchian 채널 돌파 — CAGR 25.3%, MDD -45.2%, Sharpe 0.71, 81% exposure.
Return/drawdown alternative: Donchian 채널 돌파 — CAGR is 1.0%p lower than buy and hold, while drawdown improves by 36.8%p (CAGR 25.3%, MDD -45.2%, exposure 81%).
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 |
|---|---|---|---|---|---|---|---|
| Donchian 채널 돌파 entryN=17, exitN=63 |
25.3% | -45.2% | 0.71 | 0.56 | 5.8x | 17 | 81% |
| Supertrend period=22, mult=4.7 |
21.5% | -45.7% | 0.68 | 0.47 | 4.6x | 17 | 55% |
| Keltner 채널 돌파 emaPeriod=46, atrPeriod=26, mult=2.2 |
17.2% | -35.9% | 0.68 | 0.48 | 3.5x | 25 | 29% |
| 볼린저 밴드 돌파 n=55, k=2.1 |
16.3% | -31.7% | 0.64 | 0.51 | 3.3x | 25 | 33% |
| MACD fast=12, slow=48, signal=28 |
19.1% | -58.5% | 0.64 | 0.33 | 3.9x | 79 | 51% |
| ROC 모멘텀 n=225, threshold=0.13 |
18.2% | -54.5% | 0.63 | 0.33 | 3.7x | 61 | 52% |
| SMA 크로스오버 fast=44, slow=193 |
18.1% | -57.9% | 0.62 | 0.31 | 3.7x | 17 | 51% |
| EMA 크로스오버 fast=11, slow=189 |
16.6% | -64.4% | 0.58 | 0.26 | 3.3x | 21 | 60% |
| ADX / DI 방향성 period=20, threshold=18 |
10.5% | -44.6% | 0.48 | 0.24 | 2.2x | 55 | 29% |
| Parabolic SAR step=0.015, maxStep=0.18 |
0.6% | -60.0% | 0.22 | 0.01 | 1.0x | 143 | 51% |
| Buy and hold | 26.3% | -82.0% | 0.70 | 0.32 | 6.2x | 1 | 100% |
Rules of the top strategy
A new high means a trend starting; a new low means it’s over (turtle-trading style).
- Buy — Buy on a breakout above the highest high of the last 17 days
- Sell — Sell when price breaks below the lowest low of the last 63 days