Trend-Following Backtester · Guide · backtest 한국어
equity · US
Immunovant, Inc. backtest
10 trend-following strategies were compared on the full daily history of Immunovant, Inc.. 8 beat buy-and-hold CAGR; SMA 크로스오버 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is SMA 크로스오버 (CAGR 67.2%, MDD -35.0%).
Results by strategy
8 of 10 beat buy and hold (CAGR 21.6%, drawdown -93.6%).
Sharpe leader (same as main): SMA 크로스오버 — CAGR 67.2%, MDD -35.0%, Sharpe 1.13, 54% exposure.
Return/drawdown alternative: SMA 크로스오버 — CAGR is 45.6%p higher than buy and hold, while drawdown improves by 58.6%p (CAGR 67.2%, MDD -35.0%, 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=28, slow=63 |
67.2% | -35.0% | 1.13 | 1.92 | 40.3x | 17 | 54% |
| ADX / DI 방향성 period=26, threshold=16 |
42.9% | -38.4% | 1.07 | 1.12 | 13.0x | 45 | 46% |
| Keltner 채널 돌파 emaPeriod=85, atrPeriod=19, mult=1.3 |
44.7% | -48.1% | 1.06 | 0.93 | 14.2x | 23 | 47% |
| EMA 크로스오버 fast=25, slow=29 |
43.7% | -55.0% | 1.03 | 0.79 | 13.6x | 29 | 55% |
| Donchian 채널 돌파 entryN=43, exitN=54 |
57.3% | -47.3% | 1.02 | 1.21 | 26.1x | 13 | 56% |
| Supertrend period=15, mult=4.9 |
56.9% | -52.0% | 1.01 | 1.09 | 25.5x | 13 | 61% |
| 볼린저 밴드 돌파 n=39, k=3.2 |
24.9% | -35.2% | 0.97 | 0.71 | 4.9x | 15 | 25% |
| ROC 모멘텀 n=120, threshold=0.1 |
52.1% | -57.6% | 0.96 | 0.90 | 20.5x | 21 | 48% |
| Parabolic SAR step=0.01, maxStep=0.12 |
15.1% | -78.1% | 0.54 | 0.19 | 2.8x | 93 | 54% |
| MACD fast=16, slow=30, signal=7 |
0.9% | -78.3% | 0.26 | 0.01 | 1.1x | 122 | 51% |
| Buy and hold | 21.6% | -93.6% | 0.61 | 0.23 | 4.1x | 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 28-day average price crosses above the 63-day average
- Sell — Sell (to cash) when the 28-day average falls below the 63-day average