Trend-Following Backtester · Guide · backtest 한국어
equity · US
Jazz Pharmaceuticals plc backtest
10 trend-following strategies were compared on the full daily history of Jazz Pharmaceuticals plc. 5 beat buy-and-hold CAGR; EMA 크로스오버 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is Donchian 채널 돌파 (CAGR 22.0%, MDD -47.9%).
Results by strategy
5 of 10 beat buy and hold (CAGR 14.7%, drawdown -96.9%).
Sharpe leader (same as main): EMA 크로스오버 — CAGR 22.3%, MDD -57.0%, Sharpe 0.74, 58% exposure.
Return/drawdown alternative: Donchian 채널 돌파 — CAGR is 7.6%p higher than buy and hold, while drawdown improves by 39.9%p (CAGR 22.0%, MDD -47.9%, 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 |
|---|---|---|---|---|---|---|---|
| EMA 크로스오버 fast=18, slow=200 |
22.3% | -57.0% | 0.74 | 0.39 | 48.1x | 27 | 58% |
| Donchian 채널 돌파 entryN=112, exitN=85 |
22.0% | -47.9% | 0.69 | 0.46 | 46.0x | 19 | 53% |
| SMA 크로스오버 fast=34, slow=189 |
19.0% | -73.2% | 0.67 | 0.26 | 28.3x | 27 | 58% |
| ADX / DI 방향성 period=39, threshold=20 |
12.8% | -41.9% | 0.59 | 0.31 | 10.2x | 23 | 15% |
| ROC 모멘텀 n=114, threshold=0.03 |
14.8% | -59.2% | 0.53 | 0.25 | 14.2x | 145 | 54% |
| 볼린저 밴드 돌파 n=38, k=2.5 |
11.8% | -46.5% | 0.49 | 0.25 | 8.6x | 70 | 28% |
| Keltner 채널 돌파 emaPeriod=30, atrPeriod=14, mult=2.6 |
10.9% | -51.8% | 0.47 | 0.21 | 7.3x | 60 | 24% |
| MACD fast=21, slow=73, signal=20 |
16.1% | -77.7% | 0.45 | 0.21 | 17.7x | 170 | 53% |
| Supertrend period=27, mult=5 |
8.4% | -61.4% | 0.38 | 0.14 | 4.7x | 49 | 51% |
| Parabolic SAR step=0.02, maxStep=0.18 |
3.3% | -85.4% | 0.26 | 0.04 | 1.9x | 423 | 52% |
| Buy and hold | 14.7% | -96.9% | 0.47 | 0.15 | 14.1x | 1 | 100% |
Rules of the top strategy
Uses two exponential averages (more weight on recent prices) and trades their crossover.
- Buy — Buy when the 18-day EMA crosses above the 200-day EMA
- Sell — Sell when the 18-day EMA falls below the 200-day EMA