Trend-Following Backtester · Guide · backtest 한국어
equity · IN
PFIZER LIMITED backtest
10 trend-following strategies were compared on the full daily history of PFIZER LIMITED. 2 beat buy-and-hold CAGR; Donchian 채널 돌파 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is Supertrend (CAGR 10.6%, MDD -37.6%).
Results by strategy
2 of 10 beat buy and hold (CAGR 10.3%, drawdown -62.8%).
Sharpe leader (same as main): Donchian 채널 돌파 — CAGR 14.3%, MDD -40.3%, Sharpe 0.71, 65% exposure.
Return/drawdown alternative: Supertrend — CAGR is 4.0%p higher than buy and hold, while drawdown improves by 22.5%p (CAGR 10.6%, MDD -37.6%, exposure 56%).
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=29, exitN=50 |
14.3% | -40.3% | 0.71 | 0.35 | 24.9x | 39 | 65% |
| Supertrend period=10, mult=3.7 |
10.6% | -37.6% | 0.59 | 0.28 | 11.3x | 73 | 56% |
| EMA 크로스오버 fast=17, slow=46 |
9.6% | -44.2% | 0.54 | 0.22 | 9.2x | 105 | 55% |
| SMA 크로스오버 fast=11, slow=217 |
9.4% | -41.2% | 0.53 | 0.23 | 8.8x | 42 | 57% |
| 볼린저 밴드 돌파 n=25, k=1.6 |
7.2% | -47.5% | 0.48 | 0.15 | 5.4x | 209 | 38% |
| Parabolic SAR step=0.005, maxStep=0.26 |
6.1% | -44.5% | 0.40 | 0.14 | 4.1x | 185 | 53% |
| ROC 모멘텀 n=90, threshold=-0.04 |
6.6% | -61.7% | 0.39 | 0.11 | 4.6x | 197 | 67% |
| Keltner 채널 돌파 emaPeriod=48, atrPeriod=33, mult=1.2 |
5.4% | -33.3% | 0.38 | 0.16 | 3.5x | 153 | 40% |
| MACD fast=16, slow=56, signal=19 |
4.3% | -47.9% | 0.32 | 0.09 | 2.8x | 255 | 49% |
| ADX / DI 방향성 period=21, threshold=14 |
2.2% | -55.3% | 0.21 | 0.04 | 1.7x | 264 | 55% |
| Buy and hold | 10.3% | -62.8% | 0.50 | 0.16 | 10.6x | 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 29 days
- Sell — Sell when price breaks below the lowest low of the last 50 days