Trend-Following Backtester · Guide · backtest 한국어
equity · IL
Teva Pharmaceutical Industries Limited backtest
10 trend-following strategies were compared on the full daily history of Teva Pharmaceutical Industries Limited. 3 beat buy-and-hold CAGR; ADX / DI 방향성 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is ADX / DI 방향성 (CAGR 2.2%, MDD -9.4%).
Results by strategy
3 of 10 beat buy and hold (CAGR 1.4%, drawdown -92.0%).
Sharpe leader (same as main): ADX / DI 방향성 — CAGR 2.2%, MDD -9.4%, Sharpe 0.49, 4% exposure.
CAGR reference leader: SMA 크로스오버 — CAGR 6.9%, MDD -55.3%, exposure 54%.
Return/drawdown alternative: ADX / DI 방향성 — CAGR is 0.8%p higher than buy and hold, while drawdown improves by 82.6%p (CAGR 2.2%, MDD -9.4%, exposure 4%).
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 |
|---|---|---|---|---|---|---|---|
| ADX / DI 방향성 period=16, threshold=39 |
2.2% | -9.4% | 0.49 | 0.23 | 1.7x | 12 | 4% |
| SMA 크로스오버 fast=41, slow=128 |
6.9% | -55.3% | 0.38 | 0.13 | 5.0x | 36 | 54% |
| EMA 크로스오버 fast=53, slow=157 |
3.0% | -72.4% | 0.25 | 0.04 | 2.0x | 25 | 51% |
| Donchian 채널 돌파 entryN=56, exitN=71 |
1.2% | -67.2% | 0.20 | 0.02 | 1.3x | 36 | 56% |
| ROC 모멘텀 n=137, threshold=0.02 |
0.7% | -71.4% | 0.17 | 0.01 | 1.2x | 161 | 50% |
| Supertrend period=10, mult=5 |
-1.8% | -86.3% | 0.08 | -0.02 | 0.7x | 85 | 53% |
| 볼린저 밴드 돌파 n=20, k=3.4 |
0.2% | -34.3% | 0.07 | 0.00 | 1.0x | 14 | 3% |
| Parabolic SAR step=0.005, maxStep=0.22 |
-5.3% | -92.6% | -0.02 | -0.06 | 0.3x | 171 | 48% |
| Keltner 채널 돌파 emaPeriod=51, atrPeriod=22, mult=1.5 |
-3.6% | -86.6% | -0.04 | -0.04 | 0.4x | 165 | 43% |
| MACD fast=22, slow=32, signal=16 |
-7.2% | -96.1% | -0.11 | -0.07 | 0.2x | 247 | 50% |
| Buy and hold | 1.4% | -92.0% | 0.28 | 0.02 | 1.4x | 1 | 100% |
Rules of the top strategy
Looks at both the direction and the strength of the trend; holds only in a strong uptrend.
- Buy — Buy when up-direction (+DI) beats down-direction (−DI) and trend strength (ADX, 16-day) is ≥ 39
- Sell — Sell when direction flips or the trend weakens (ADX < 39)