Trend-Following Backtester · Guide · backtest 한국어
equity · US
Insmed Incorporated backtest
10 trend-following strategies were compared on the full daily history of Insmed Incorporated. 9 beat buy-and-hold CAGR; 볼린저 밴드 돌파 ranks first by Sharpe, matching the main backtester.
Results by strategy
9 of 10 beat buy and hold (CAGR -1.2%, drawdown -98.6%).
Sharpe leader (same as main): 볼린저 밴드 돌파 — CAGR 12.0%, MDD -79.8%, Sharpe 0.50, 23% 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 |
|---|---|---|---|---|---|---|---|
| 볼린저 밴드 돌파 n=39, k=2.5 |
12.0% | -79.8% | 0.50 | 0.15 | 19.6x | 87 | 23% |
| Donchian 채널 돌파 entryN=70, exitN=11 |
6.8% | -80.0% | 0.37 | 0.08 | 5.6x | 88 | 21% |
| Supertrend period=13, mult=4.7 |
5.2% | -89.7% | 0.36 | 0.06 | 3.8x | 69 | 47% |
| Keltner 채널 돌파 emaPeriod=42, atrPeriod=25, mult=2.3 |
5.4% | -86.0% | 0.34 | 0.06 | 4.0x | 107 | 26% |
| MACD fast=19, slow=27, signal=8 |
2.2% | -91.2% | 0.32 | 0.02 | 1.8x | 438 | 51% |
| ADX / DI 방향성 period=15, threshold=18 |
2.6% | -84.6% | 0.30 | 0.03 | 2.0x | 343 | 38% |
| Parabolic SAR step=0.01, maxStep=0.38 |
-0.2% | -95.6% | 0.28 | -0.00 | 1.0x | 325 | 46% |
| SMA 크로스오버 fast=53, slow=108 |
-0.2% | -90.2% | 0.25 | -0.00 | 1.0x | 68 | 48% |
| ROC 모멘텀 n=129, threshold=0.11 |
-0.1% | -95.6% | 0.23 | -0.00 | 1.0x | 194 | 39% |
| EMA 크로스오버 fast=23, slow=72 |
-2.3% | -95.8% | 0.21 | -0.02 | 0.5x | 87 | 45% |
| Buy and hold | -1.2% | -98.6% | 0.40 | -0.01 | 0.7x | 1 | 100% |
Rules of the top strategy
Breaking above the upper band (average plus a multiple of volatility) signals a strong move up.
- Buy — Buy when the close breaks above the upper band of the 39-day average (2.5× volatility)
- Sell — Sell when the close falls back to the 39-day middle average