Trend-Following Backtester · Guide · backtest 한국어
equity · JP
Oncolys BioPharma, Inc. backtest
10 trend-following strategies were compared on the full daily history of Oncolys BioPharma, Inc.. 9 beat buy-and-hold CAGR; ROC 모멘텀 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is 볼린저 밴드 돌파 (CAGR 9.3%, MDD -66.9%).
Results by strategy
9 of 10 beat buy and hold (CAGR 2.1%, drawdown -89.4%).
Sharpe leader (same as main): ROC 모멘텀 — CAGR 14.9%, MDD -85.6%, Sharpe 0.53, 40% exposure.
Return/drawdown alternative: 볼린저 밴드 돌파 — CAGR is 12.7%p higher than buy and hold, while drawdown improves by 3.8%p (CAGR 9.3%, MDD -66.9%, exposure 25%).
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 |
|---|---|---|---|---|---|---|---|
| ROC 모멘텀 n=85, threshold=0.02 |
14.9% | -85.6% | 0.53 | 0.17 | 5.8x | 137 | 40% |
| SMA 크로스오버 fast=17, slow=141 |
13.5% | -90.4% | 0.51 | 0.15 | 5.0x | 35 | 39% |
| EMA 크로스오버 fast=9, slow=130 |
12.9% | -88.2% | 0.50 | 0.15 | 4.7x | 41 | 38% |
| MACD fast=6, slow=51, signal=7 |
12.5% | -75.6% | 0.49 | 0.17 | 4.5x | 275 | 52% |
| 볼린저 밴드 돌파 n=31, k=1.9 |
9.3% | -66.9% | 0.42 | 0.14 | 3.1x | 71 | 25% |
| Donchian 채널 돌파 entryN=33, exitN=68 |
6.4% | -89.7% | 0.41 | 0.07 | 2.2x | 33 | 62% |
| Supertrend period=20, mult=4.5 |
6.4% | -80.3% | 0.39 | 0.08 | 2.2x | 51 | 41% |
| ADX / DI 방향성 period=19, threshold=25 |
5.8% | -75.0% | 0.36 | 0.08 | 2.1x | 63 | 25% |
| Keltner 채널 돌파 emaPeriod=58, atrPeriod=11, mult=2.1 |
4.0% | -79.1% | 0.33 | 0.05 | 1.7x | 59 | 23% |
| Parabolic SAR step=0.01, maxStep=0.36 |
-0.6% | -93.8% | 0.26 | -0.01 | 0.9x | 149 | 45% |
| Buy and hold | 2.1% | -89.4% | 0.40 | 0.02 | 1.3x | 1 | 100% |
Rules of the top strategy
Rides the trend when recent return (momentum) over a window is above a threshold.
- Buy — Buy when the last 85-day return is greater than 2%
- Sell — Sell when the 85-day return drops to 2% or below