Trend-Following Backtester · Guide · backtest 한국어
equity · US
Gilead Sciences, Inc. backtest
10 trend-following strategies were compared on the full daily history of Gilead Sciences, Inc.. 0 beat buy-and-hold CAGR; SMA 크로스오버 ranks first by Sharpe, matching the main backtester.
Results by strategy
0 of 10 beat buy and hold (CAGR 17.0%, drawdown -70.8%).
Sharpe leader (same as main): SMA 크로스오버 — CAGR 10.1%, MDD -66.9%, Sharpe 0.45, 60% exposure.
No strategy retained at least 75% of buy-and-hold CAGR while reducing drawdown by both 20% relatively and 5 percentage points absolutely.
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=48, slow=112 |
10.1% | -66.9% | 0.45 | 0.15 | 27.5x | 75 | 60% |
| MACD fast=40, slow=61, signal=22 |
8.2% | -65.8% | 0.40 | 0.12 | 15.3x | 241 | 53% |
| EMA 크로스오버 fast=51, slow=180 |
7.9% | -78.2% | 0.39 | 0.10 | 13.9x | 57 | 65% |
| Donchian 채널 돌파 entryN=34, exitN=70 |
7.9% | -67.8% | 0.39 | 0.12 | 13.8x | 79 | 72% |
| ROC 모멘텀 n=145, threshold=0.03 |
4.8% | -67.4% | 0.31 | 0.07 | 5.1x | 308 | 59% |
| 볼린저 밴드 돌파 n=70, k=2.6 |
4.6% | -54.7% | 0.30 | 0.08 | 4.7x | 85 | 29% |
| ADX / DI 방향성 period=37, threshold=13 |
1.2% | -61.6% | 0.18 | 0.02 | 1.5x | 203 | 33% |
| Supertrend period=10, mult=3 |
0.5% | -81.8% | 0.17 | 0.01 | 1.2x | 243 | 57% |
| Keltner 채널 돌파 emaPeriod=51, atrPeriod=38, mult=3.4 |
1.2% | -68.3% | 0.16 | 0.02 | 1.5x | 103 | 25% |
| Parabolic SAR step=0.025, maxStep=0.12 |
-6.1% | -97.6% | -0.04 | -0.06 | 0.1x | 789 | 53% |
| Buy and hold | 17.0% | -70.8% | 0.57 | 0.24 | 230.2x | 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 48-day average price crosses above the 112-day average
- Sell — Sell (to cash) when the 48-day average falls below the 112-day average