Trend-Following Backtester · Guide · backtest 한국어
equity · US
ACADIA Pharmaceuticals Inc. backtest
10 trend-following strategies were compared on the full daily history of ACADIA Pharmaceuticals Inc.. 5 beat buy-and-hold CAGR; Donchian 채널 돌파 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is SMA 크로스오버 (CAGR 13.3%, MDD -71.9%).
Results by strategy
5 of 10 beat buy and hold (CAGR 6.8%, drawdown -96.3%).
Sharpe leader (same as main): Donchian 채널 돌파 — CAGR 16.8%, MDD -85.5%, Sharpe 0.52, 65% exposure.
Return/drawdown alternative: SMA 크로스오버 — CAGR is 10.0%p higher than buy and hold, while drawdown improves by 10.8%p (CAGR 13.3%, MDD -71.9%, exposure 52%).
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=26, exitN=49 |
16.8% | -85.5% | 0.52 | 0.20 | 31.5x | 71 | 65% |
| Supertrend period=11, mult=3.5 |
13.6% | -77.5% | 0.48 | 0.17 | 16.9x | 101 | 50% |
| SMA 크로스오버 fast=16, slow=90 |
13.3% | -71.9% | 0.46 | 0.19 | 16.2x | 75 | 52% |
| EMA 크로스오버 fast=24, slow=99 |
9.8% | -76.9% | 0.42 | 0.13 | 8.1x | 57 | 52% |
| ROC 모멘텀 n=48, threshold=0.01 |
10.0% | -75.5% | 0.41 | 0.13 | 8.3x | 291 | 51% |
| Keltner 채널 돌파 emaPeriod=76, atrPeriod=13, mult=0.7 |
5.0% | -89.4% | 0.34 | 0.06 | 2.9x | 165 | 47% |
| 볼린저 밴드 돌파 n=31, k=1.6 |
4.4% | -74.1% | 0.33 | 0.06 | 2.6x | 175 | 36% |
| ADX / DI 방향성 period=14, threshold=14 |
2.8% | -88.1% | 0.31 | 0.03 | 1.8x | 419 | 48% |
| MACD fast=19, slow=20, signal=11 |
0.8% | -92.5% | 0.28 | 0.01 | 1.2x | 340 | 51% |
| Parabolic SAR step=0.01, maxStep=0.12 |
-2.2% | -96.2% | 0.23 | -0.02 | 0.6x | 271 | 50% |
| Buy and hold | 6.8% | -96.3% | 0.45 | 0.07 | 4.3x | 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 26 days
- Sell — Sell when price breaks below the lowest low of the last 49 days