Trend-Following Backtester · Guide · backtest 한국어
equity · US
Faeth Therapeutics, Inc. backtest
10 trend-following strategies were compared on the full daily history of Faeth Therapeutics, Inc.. 10 beat buy-and-hold CAGR; SMA 크로스오버 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is 볼린저 밴드 돌파 (CAGR 0.3%, MDD -19.0%).
Results by strategy
10 of 10 beat buy and hold (CAGR -35.6%, drawdown -98.7%).
Sharpe leader (same as main): SMA 크로스오버 — CAGR 16.4%, MDD -69.2%, Sharpe 0.48, 23% exposure.
CAGR reference leader: ADX / DI 방향성 — CAGR 23.4%, MDD -28.3%, exposure 6%.
Return/drawdown alternative: 볼린저 밴드 돌파 — CAGR is 52.0%p higher than buy and hold, while drawdown improves by 29.5%p (CAGR 0.3%, MDD -19.0%, exposure 2%).
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=43, slow=178 |
16.4% | -69.2% | 0.48 | 0.24 | 2.3x | 5 | 23% |
| ADX / DI 방향성 period=26, threshold=32 |
23.4% | -28.3% | 0.47 | 0.82 | 3.2x | 4 | 6% |
| EMA 크로스오버 fast=57, slow=122 |
14.5% | -70.6% | 0.47 | 0.21 | 2.1x | 3 | 21% |
| Donchian 채널 돌파 entryN=102, exitN=105 |
13.7% | -74.6% | 0.46 | 0.18 | 2.0x | 3 | 21% |
| ROC 모멘텀 n=145, threshold=0.08 |
9.9% | -75.1% | 0.42 | 0.13 | 1.7x | 33 | 19% |
| Parabolic SAR step=0.03, maxStep=0.12 |
-11.5% | -91.5% | 0.22 | -0.13 | 0.5x | 133 | 37% |
| Supertrend period=29, mult=3.4 |
-15.9% | -93.0% | 0.17 | -0.17 | 0.4x | 23 | 46% |
| 볼린저 밴드 돌파 n=17, k=3.5 |
0.3% | -19.0% | 0.09 | 0.01 | 1.0x | 4 | 2% |
| MACD fast=9, slow=15, signal=13 |
-34.9% | -98.4% | -0.03 | -0.35 | 0.1x | 125 | 51% |
| Keltner 채널 돌파 emaPeriod=27, atrPeriod=6, mult=2.6 |
-9.2% | -51.8% | -0.17 | -0.18 | 0.6x | 10 | 6% |
| Buy and hold | -35.6% | -98.7% | 0.16 | -0.36 | 0.1x | 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 43-day average price crosses above the 178-day average
- Sell — Sell (to cash) when the 43-day average falls below the 178-day average