Trend-Following Backtester · Guide · backtest 한국어
equity · US
Corcept Therapeutics Incorporated backtest
10 trend-following strategies were compared on the full daily history of Corcept Therapeutics Incorporated. 3 beat buy-and-hold CAGR; SMA 크로스오버 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is SMA 크로스오버 (CAGR 18.0%, MDD -69.5%).
Results by strategy
3 of 10 beat buy and hold (CAGR 10.5%, drawdown -94.3%).
Sharpe leader (same as main): SMA 크로스오버 — CAGR 18.0%, MDD -69.5%, Sharpe 0.56, 54% exposure.
Return/drawdown alternative: SMA 크로스오버 — CAGR is 7.5%p higher than buy and hold, while drawdown improves by 24.8%p (CAGR 18.0%, MDD -69.5%, exposure 54%).
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 |
|---|---|---|---|---|---|---|---|
| SMA 크로스오버 fast=49, slow=143 |
18.0% | -69.5% | 0.56 | 0.26 | 40.0x | 37 | 54% |
| Donchian 채널 돌파 entryN=9, exitN=42 |
12.1% | -88.0% | 0.49 | 0.14 | 12.8x | 85 | 81% |
| ROC 모멘텀 n=129, threshold=-0.04 |
13.1% | -76.2% | 0.48 | 0.17 | 15.4x | 133 | 58% |
| MACD fast=11, slow=22, signal=17 |
10.1% | -85.0% | 0.44 | 0.12 | 8.5x | 337 | 51% |
| EMA 크로스오버 fast=56, slow=111 |
9.3% | -72.7% | 0.42 | 0.13 | 7.2x | 41 | 52% |
| Keltner 채널 돌파 emaPeriod=97, atrPeriod=23, mult=1.6 |
8.9% | -69.0% | 0.42 | 0.13 | 6.6x | 87 | 43% |
| Supertrend period=13, mult=3.1 |
6.7% | -78.2% | 0.37 | 0.09 | 4.2x | 123 | 49% |
| 볼린저 밴드 돌파 n=27, k=2 |
5.7% | -71.2% | 0.33 | 0.08 | 3.4x | 161 | 33% |
| Parabolic SAR step=0.015, maxStep=0.38 |
1.6% | -92.4% | 0.28 | 0.02 | 1.4x | 355 | 50% |
| ADX / DI 방향성 period=26, threshold=17 |
0.4% | -89.1% | 0.23 | 0.00 | 1.1x | 141 | 35% |
| Buy and hold | 10.5% | -94.3% | 0.50 | 0.11 | 9.3x | 1 | 100% |
Rules of the top strategy
When the short average rises above the long average, it reads that as an uptrend starting.
- Buy — Buy when the 49-day average price crosses above the 143-day average
- Sell — Sell (to cash) when the 49-day average falls below the 143-day average