Trend-Following Backtester · Guide · backtest 한국어
equity · US
Achieve Life Sciences, Inc. backtest
10 trend-following strategies were compared on the full daily history of Achieve Life Sciences, Inc.. 10 beat buy-and-hold CAGR; Parabolic SAR ranks first by Sharpe, matching the main backtester.
Results by strategy
10 of 10 beat buy and hold (CAGR -28.7%, drawdown -100.0%).
Sharpe leader (same as main): Parabolic SAR — CAGR -2.9%, MDD -99.1%, Sharpe 0.27, 44% exposure.
CAGR reference leader: ROC 모멘텀 — CAGR -1.7%, MDD -92.2%, exposure 41%.
No strategy retained at least 75% of buy-and-hold CAGR while reducing drawdown by both 20% relatively and 5 percentage points absolutely.
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 |
|---|---|---|---|---|---|---|---|
| Parabolic SAR step=0.01, maxStep=0.2 |
-2.9% | -99.1% | 0.27 | -0.03 | 0.4x | 355 | 44% |
| ADX / DI 방향성 period=19, threshold=8 |
-3.4% | -99.7% | 0.27 | -0.03 | 0.3x | 489 | 51% |
| 볼린저 밴드 돌파 n=21, k=1.1 |
-3.2% | -98.4% | 0.26 | -0.03 | 0.4x | 401 | 34% |
| ROC 모멘텀 n=52, threshold=0.02 |
-1.7% | -92.2% | 0.25 | -0.02 | 0.6x | 423 | 41% |
| MACD fast=12, slow=35, signal=9 |
-8.3% | -99.4% | 0.24 | -0.08 | 0.1x | 511 | 53% |
| EMA 크로스오버 fast=7, slow=42 |
-2.8% | -95.6% | 0.23 | -0.03 | 0.4x | 233 | 42% |
| Donchian 채널 돌파 entryN=19, exitN=33 |
-5.7% | -99.5% | 0.22 | -0.06 | 0.2x | 129 | 56% |
| Supertrend period=14, mult=3.9 |
-2.9% | -98.3% | 0.21 | -0.03 | 0.4x | 117 | 41% |
| SMA 크로스오버 fast=36, slow=126 |
-5.2% | -99.4% | 0.19 | -0.05 | 0.2x | 69 | 39% |
| Keltner 채널 돌파 emaPeriod=20, atrPeriod=10, mult=1.2 |
-3.1% | -97.0% | 0.18 | -0.03 | 0.4x | 283 | 26% |
| Buy and hold | -28.7% | -100.0% | 0.12 | -0.29 | 0.0x | 1 | 100% |
Rules of the top strategy
Trades around the Parabolic SAR dots that accelerate toward price.
- Buy — Buy when price rises above the SAR dots
- Sell — Sell when price falls below the SAR dots