Trend-Following Backtester · Guide · backtest 한국어
equity · US
Aclaris Therapeutics, Inc. backtest
10 trend-following strategies were compared on the full daily history of Aclaris Therapeutics, Inc.. 10 beat buy-and-hold CAGR; EMA 크로스오버 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is 볼린저 밴드 돌파 (CAGR 20.4%, MDD -48.1%).
Results by strategy
10 of 10 beat buy and hold (CAGR -5.4%, drawdown -98.0%).
Sharpe leader (same as main): EMA 크로스오버 — CAGR 33.7%, MDD -66.7%, Sharpe 0.60, 40% exposure.
Return/drawdown alternative: 볼린저 밴드 돌파 — CAGR is 39.0%p higher than buy and hold, while drawdown improves by 31.4%p (CAGR 20.4%, MDD -48.1%, exposure 11%).
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 |
|---|---|---|---|---|---|---|---|
| EMA 크로스오버 fast=39, slow=110 |
33.7% | -66.7% | 0.60 | 0.50 | 23.6x | 15 | 40% |
| Supertrend period=14, mult=4.8 |
31.4% | -81.3% | 0.59 | 0.39 | 19.6x | 25 | 50% |
| Donchian 채널 돌파 entryN=79, exitN=75 |
32.6% | -63.7% | 0.59 | 0.51 | 21.6x | 11 | 40% |
| SMA 크로스오버 fast=41, slow=75 |
30.7% | -72.5% | 0.58 | 0.42 | 18.5x | 39 | 49% |
| ADX / DI 방향성 period=36, threshold=18 |
32.2% | -52.7% | 0.58 | 0.61 | 21.0x | 17 | 18% |
| ROC 모멘텀 n=116, threshold=0.03 |
27.1% | -73.8% | 0.54 | 0.37 | 13.7x | 67 | 39% |
| MACD fast=26, slow=48, signal=21 |
7.5% | -93.8% | 0.47 | 0.08 | 2.2x | 79 | 53% |
| 볼린저 밴드 돌파 n=37, k=3 |
20.4% | -48.1% | 0.45 | 0.42 | 7.5x | 20 | 11% |
| Keltner 채널 돌파 emaPeriod=36, atrPeriod=19, mult=3.8 |
15.8% | -53.3% | 0.39 | 0.30 | 4.9x | 10 | 7% |
| Parabolic SAR step=0.025, maxStep=0.3 |
0.2% | -82.2% | 0.29 | 0.00 | 1.0x | 259 | 47% |
| Buy and hold | -5.4% | -98.0% | 0.43 | -0.05 | 0.5x | 1 | 100% |
Rules of the top strategy
Uses two exponential averages (more weight on recent prices) and trades their crossover.
- Buy — Buy when the 39-day EMA crosses above the 110-day EMA
- Sell — Sell when the 39-day EMA falls below the 110-day EMA