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 66.9%, MDD -35.0%).
Results by strategy
8 of 10 beat buy and hold (CAGR 20.9%, drawdown -93.6%).
Sharpe leader (same as main): SMA 크로스오버 — CAGR 66.9%, MDD -35.0%, Sharpe 1.13, 53% exposure.
Return/drawdown alternative: SMA 크로스오버 — CAGR is 46.0%p higher than buy and hold, while drawdown improves by 58.6%p (CAGR 66.9%, MDD -35.0%, exposure 53%).
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 |
66.9% | -35.0% | 1.13 | 1.91 | 38.1x | 17 | 53% |
| ADX / DI 방향성 period=26, threshold=16 |
42.4% | -38.4% | 1.06 | 1.10 | 12.3x | 45 | 45% |
| Keltner 채널 돌파 emaPeriod=85, atrPeriod=19, mult=1.3 |
44.2% | -48.1% | 1.05 | 0.92 | 13.5x | 23 | 46% |
| EMA 크로스오버 fast=25, slow=29 |
43.2% | -55.0% | 1.02 | 0.79 | 12.9x | 29 | 54% |
| Donchian 채널 돌파 entryN=43, exitN=54 |
56.9% | -47.3% | 1.02 | 1.20 | 24.7x | 13 | 55% |
| Supertrend period=15, mult=4.9 |
56.5% | -52.0% | 1.00 | 1.09 | 24.1x | 13 | 61% |
| ROC 모멘텀 n=120, threshold=0.1 |
51.7% | -57.6% | 0.96 | 0.90 | 19.4x | 21 | 48% |
| 볼린저 밴드 돌파 n=39, k=3.2 |
24.2% | -35.2% | 0.95 | 0.69 | 4.7x | 15 | 24% |
| Parabolic SAR step=0.01, maxStep=0.12 |
16.2% | -78.1% | 0.56 | 0.21 | 2.9x | 91 | 54% |
| MACD fast=16, slow=30, signal=7 |
1.5% | -78.3% | 0.27 | 0.02 | 1.1x | 120 | 51% |
| Buy and hold | 20.9% | -93.6% | 0.61 | 0.22 | 3.9x | 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