Trend-Following Backtester · Guide · backtest 한국어
equity · US
Arbutus Biopharma Corporation backtest
10 trend-following strategies were compared on the full daily history of Arbutus Biopharma Corporation. 10 beat buy-and-hold CAGR; Supertrend ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is SMA 크로스오버 (CAGR 11.2%, MDD -75.1%).
Results by strategy
10 of 10 beat buy and hold (CAGR -1.1%, drawdown -97.2%).
Sharpe leader (same as main): Supertrend — CAGR 14.1%, MDD -80.1%, Sharpe 0.48, 44% exposure.
Return/drawdown alternative: SMA 크로스오버 — CAGR is 15.2%p higher than buy and hold, while drawdown improves by 17.1%p (CAGR 11.2%, MDD -75.1%, exposure 48%).
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 |
|---|---|---|---|---|---|---|---|
| Supertrend period=15, mult=4.3 |
14.1% | -80.1% | 0.48 | 0.18 | 12.4x | 63 | 44% |
| 볼린저 밴드 돌파 n=17, k=1.2 |
12.1% | -75.4% | 0.45 | 0.16 | 8.9x | 287 | 34% |
| SMA 크로스오버 fast=25, slow=66 |
11.2% | -75.1% | 0.44 | 0.15 | 7.6x | 71 | 48% |
| EMA 크로스오버 fast=12, slow=33 |
11.1% | -85.7% | 0.44 | 0.13 | 7.5x | 133 | 46% |
| MACD fast=20, slow=25, signal=11 |
10.0% | -85.3% | 0.43 | 0.12 | 6.2x | 279 | 51% |
| Donchian 채널 돌파 entryN=59, exitN=49 |
9.4% | -86.9% | 0.41 | 0.11 | 5.6x | 37 | 43% |
| Parabolic SAR step=0.045, maxStep=0.14 |
7.5% | -84.2% | 0.40 | 0.09 | 4.0x | 530 | 46% |
| Keltner 채널 돌파 emaPeriod=30, atrPeriod=26, mult=2.1 |
8.6% | -83.9% | 0.38 | 0.10 | 4.8x | 103 | 23% |
| ADX / DI 방향성 period=13, threshold=16 |
6.4% | -75.7% | 0.37 | 0.08 | 3.3x | 325 | 41% |
| ROC 모멘텀 n=57, threshold=0.07 |
7.1% | -79.6% | 0.37 | 0.09 | 3.7x | 239 | 39% |
| Buy and hold | -1.1% | -97.2% | 0.38 | -0.01 | 0.8x | 1 | 100% |
Rules of the top strategy
Trades the direction of a volatility-based trend line that trails below/above price.
- Buy — Buy when price moves above the trend line (flips up) — 15-day volatility, 4.3× band
- Sell — Sell when price drops below the trend line (flips down)