Trend-Following Backtester · Guide · backtest 한국어
equity · US
Immatics N.V. backtest
10 trend-following strategies were compared on the full daily history of Immatics N.V.. 8 beat buy-and-hold CAGR; Parabolic SAR ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is ADX / DI 방향성 (CAGR 4.6%, MDD -16.0%).
Results by strategy
8 of 10 beat buy and hold (CAGR -0.2%, drawdown -79.4%).
Sharpe leader (same as main): Parabolic SAR — CAGR 10.8%, MDD -49.0%, Sharpe 0.46, 52% exposure.
Return/drawdown alternative: ADX / DI 방향성 — CAGR is 11.0%p higher than buy and hold, while drawdown improves by 30.4%p (CAGR 4.6%, MDD -16.0%, exposure 6%).
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 |
|---|---|---|---|---|---|---|---|
| Parabolic SAR step=0.025, maxStep=0.28 |
10.8% | -49.0% | 0.46 | 0.22 | 2.2x | 175 | 52% |
| ADX / DI 방향성 period=13, threshold=49 |
4.6% | -16.0% | 0.39 | 0.29 | 1.4x | 10 | 6% |
| SMA 크로스오버 fast=45, slow=59 |
5.5% | -53.8% | 0.33 | 0.10 | 1.5x | 36 | 53% |
| 볼린저 밴드 돌파 n=50, k=1.8 |
5.3% | -61.5% | 0.32 | 0.09 | 1.5x | 32 | 33% |
| Supertrend period=11, mult=2.9 |
3.5% | -57.2% | 0.28 | 0.06 | 1.3x | 58 | 56% |
| Donchian 채널 돌파 entryN=11, exitN=9 |
2.0% | -52.7% | 0.23 | 0.04 | 1.2x | 84 | 49% |
| Keltner 채널 돌파 emaPeriod=44, atrPeriod=24, mult=1.8 |
2.3% | -58.8% | 0.22 | 0.04 | 1.2x | 38 | 31% |
| EMA 크로스오버 fast=42, slow=90 |
-0.1% | -68.6% | 0.18 | -0.00 | 1.0x | 18 | 58% |
| MACD fast=17, slow=39, signal=19 |
-0.4% | -70.6% | 0.17 | -0.01 | 1.0x | 91 | 47% |
| ROC 모멘텀 n=75, threshold=-0.03 |
-5.3% | -66.7% | 0.04 | -0.08 | 0.7x | 82 | 61% |
| Buy and hold | -0.2% | -79.4% | 0.25 | -0.00 | 1.0x | 1 | 100% |
Rules of the top strategy
Trades around the Parabolic SAR dots that accelerate toward price.
- Buy — Buy when price rises above the SAR dots
- Sell — Sell when price falls below the SAR dots