Trend-Following Backtester · Guide · backtest 한국어
equity · US
Geron Corporation backtest
10 trend-following strategies were compared on the full daily history of Geron Corporation. 9 beat buy-and-hold CAGR; SMA 크로스오버 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is ADX / DI 방향성 (CAGR 2.7%, MDD -59.0%).
Results by strategy
9 of 10 beat buy and hold (CAGR -5.2%, drawdown -98.7%).
Sharpe leader (same as main): SMA 크로스오버 — CAGR 1.8%, MDD -92.6%, Sharpe 0.33, 46% exposure.
CAGR reference leader: ADX / DI 방향성 — CAGR 2.7%, MDD -59.0%, exposure 7%.
Return/drawdown alternative: ADX / DI 방향성 — CAGR is 7.0%p higher than buy and hold, while drawdown improves by 6.1%p (CAGR 2.7%, MDD -59.0%, exposure 7%).
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=15, slow=21 |
1.8% | -92.6% | 0.33 | 0.02 | 1.7x | 427 | 46% |
| Parabolic SAR step=0.01, maxStep=0.14 |
-0.4% | -89.4% | 0.26 | -0.00 | 0.9x | 353 | 44% |
| Supertrend period=10, mult=4.9 |
-3.8% | -98.9% | 0.25 | -0.04 | 0.3x | 77 | 51% |
| ADX / DI 방향성 period=18, threshold=37 |
2.7% | -59.0% | 0.24 | 0.05 | 2.2x | 48 | 7% |
| 볼린저 밴드 돌파 n=47, k=1.8 |
-1.1% | -82.4% | 0.24 | -0.01 | 0.7x | 141 | 28% |
| MACD fast=11, slow=24, signal=17 |
-3.5% | -94.6% | 0.23 | -0.04 | 0.3x | 454 | 50% |
| Keltner 채널 돌파 emaPeriod=35, atrPeriod=13, mult=1.8 |
-1.6% | -86.1% | 0.22 | -0.02 | 0.6x | 153 | 24% |
| Donchian 채널 돌파 entryN=65, exitN=71 |
-5.1% | -95.3% | 0.21 | -0.05 | 0.2x | 53 | 41% |
| ROC 모멘텀 n=37, threshold=0.12 |
-4.4% | -91.5% | 0.17 | -0.05 | 0.3x | 360 | 27% |
| EMA 크로스오버 fast=58, slow=160 |
-7.2% | -96.2% | 0.14 | -0.08 | 0.1x | 51 | 39% |
| Buy and hold | -5.2% | -98.7% | 0.34 | -0.05 | 0.2x | 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 15-day average price crosses above the 21-day average
- Sell — Sell (to cash) when the 15-day average falls below the 21-day average