Trend-Following Backtester · Guide · backtest 한국어
equity · US
Aurinia Pharmaceuticals Inc backtest
10 trend-following strategies were compared on the full daily history of Aurinia Pharmaceuticals Inc. 0 beat buy-and-hold CAGR; Supertrend ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is Supertrend (CAGR 9.3%, MDD -68.0%).
Results by strategy
0 of 10 beat buy and hold (CAGR 11.6%, drawdown -87.6%).
Sharpe leader (same as main): Supertrend — CAGR 9.3%, MDD -68.0%, Sharpe 0.43, 42% exposure.
Return/drawdown alternative: Supertrend — CAGR is 2.3%p lower than buy and hold, while drawdown improves by 19.6%p (CAGR 9.3%, MDD -68.0%, exposure 42%).
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=28, mult=2.9 |
9.3% | -68.0% | 0.43 | 0.14 | 2.9x | 78 | 42% |
| Donchian 채널 돌파 entryN=17, exitN=76 |
2.8% | -80.6% | 0.37 | 0.04 | 1.4x | 33 | 77% |
| ADX / DI 방향성 period=22, threshold=32 |
5.8% | -43.2% | 0.36 | 0.14 | 2.0x | 16 | 10% |
| ROC 모멘텀 n=106, threshold=0.06 |
4.9% | -71.9% | 0.35 | 0.07 | 1.8x | 101 | 41% |
| MACD fast=19, slow=59, signal=18 |
3.8% | -79.3% | 0.35 | 0.05 | 1.6x | 118 | 47% |
| SMA 크로스오버 fast=18, slow=219 |
2.6% | -77.6% | 0.31 | 0.03 | 1.4x | 25 | 51% |
| Keltner 채널 돌파 emaPeriod=47, atrPeriod=16, mult=2.5 |
3.5% | -66.9% | 0.30 | 0.05 | 1.5x | 44 | 24% |
| 볼린저 밴드 돌파 n=47, k=3.5 |
3.2% | -52.3% | 0.23 | 0.06 | 1.5x | 20 | 12% |
| EMA 크로스오버 fast=16, slow=219 |
-2.1% | -71.6% | 0.22 | -0.03 | 0.8x | 35 | 52% |
| Parabolic SAR step=0.035, maxStep=0.2 |
-1.8% | -95.6% | 0.22 | -0.02 | 0.8x | 336 | 47% |
| Buy and hold | 11.6% | -87.6% | 0.51 | 0.13 | 3.7x | 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) — 28-day volatility, 2.9× band
- Sell — Sell when price drops below the trend line (flips down)