Trend-Following Backtester · Guide · backtest 한국어
equity · US
Ionis Pharmaceuticals, Inc. backtest
10 trend-following strategies were compared on the full daily history of Ionis Pharmaceuticals, Inc.. 1 beat buy-and-hold CAGR; Parabolic SAR ranks first by Sharpe, matching the main backtester.
Results by strategy
1 of 10 beat buy and hold (CAGR 4.8%, drawdown -91.7%).
Sharpe leader (same as main): Parabolic SAR — CAGR 8.7%, MDD -79.7%, Sharpe 0.41, 49% 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 |
|---|---|---|---|---|---|---|---|
| Parabolic SAR step=0.02, maxStep=0.14 |
8.7% | -79.7% | 0.41 | 0.11 | 18.9x | 670 | 49% |
| MACD fast=17, slow=35, signal=11 |
4.6% | -86.8% | 0.32 | 0.05 | 4.9x | 510 | 51% |
| Donchian 채널 돌파 entryN=16, exitN=47 |
-0.4% | -97.4% | 0.25 | -0.00 | 0.9x | 152 | 70% |
| Supertrend period=17, mult=2.6 |
1.4% | -91.6% | 0.25 | 0.01 | 1.6x | 274 | 47% |
| SMA 크로스오버 fast=74, slow=157 |
0.7% | -86.9% | 0.24 | 0.01 | 1.3x | 70 | 49% |
| EMA 크로스오버 fast=8, slow=22 |
0.4% | -89.6% | 0.23 | 0.00 | 1.1x | 376 | 50% |
| 볼린저 밴드 돌파 n=32, k=1.1 |
0.2% | -87.2% | 0.21 | 0.00 | 1.1x | 344 | 39% |
| Keltner 채널 돌파 emaPeriod=27, atrPeriod=19, mult=1.4 |
-0.4% | -89.7% | 0.18 | -0.00 | 0.9x | 290 | 32% |
| ADX / DI 방향성 period=31, threshold=16 |
-1.3% | -91.8% | 0.15 | -0.01 | 0.6x | 186 | 27% |
| ROC 모멘텀 n=15, threshold=-0.01 |
-6.0% | -96.9% | 0.11 | -0.06 | 0.1x | 976 | 54% |
| Buy and hold | 4.8% | -91.7% | 0.39 | 0.05 | 5.1x | 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