Trend-Following Backtester · Guide · backtest 한국어
equity · US
Kiniksa Pharmaceuticals International, plc backtest
10 trend-following strategies were compared on the full daily history of Kiniksa Pharmaceuticals International, plc. 2 beat buy-and-hold CAGR; SMA 크로스오버 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is SMA 크로스오버 (CAGR 21.8%, MDD -50.7%).
Results by strategy
2 of 10 beat buy and hold (CAGR 17.8%, drawdown -83.1%).
Sharpe leader (same as main): SMA 크로스오버 — CAGR 21.8%, MDD -50.7%, Sharpe 0.65, 54% exposure.
Return/drawdown alternative: SMA 크로스오버 — CAGR is 4.1%p higher than buy and hold, while drawdown improves by 32.4%p (CAGR 21.8%, MDD -50.7%, 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=33, slow=124 |
21.8% | -50.7% | 0.65 | 0.43 | 5.0x | 19 | 54% |
| EMA 크로스오버 fast=50, slow=97 |
19.6% | -50.9% | 0.61 | 0.39 | 4.3x | 13 | 57% |
| Supertrend period=10, mult=2.4 |
16.5% | -67.0% | 0.56 | 0.25 | 3.5x | 65 | 51% |
| Donchian 채널 돌파 entryN=83, exitN=66 |
15.4% | -63.3% | 0.55 | 0.24 | 3.2x | 11 | 49% |
| ROC 모멘텀 n=61, threshold=-0.06 |
10.8% | -79.8% | 0.45 | 0.14 | 2.3x | 87 | 62% |
| ADX / DI 방향성 period=18, threshold=19 |
10.3% | -52.3% | 0.45 | 0.20 | 2.2x | 75 | 31% |
| Keltner 채널 돌파 emaPeriod=45, atrPeriod=9, mult=1.1 |
4.7% | -66.2% | 0.31 | 0.07 | 1.5x | 69 | 45% |
| 볼린저 밴드 돌파 n=12, k=2.7 |
4.6% | -32.3% | 0.30 | 0.14 | 1.4x | 39 | 11% |
| MACD fast=12, slow=35, signal=15 |
0.5% | -75.3% | 0.23 | 0.01 | 1.0x | 119 | 48% |
| Parabolic SAR step=0.015, maxStep=0.2 |
0.3% | -79.0% | 0.23 | 0.00 | 1.0x | 151 | 49% |
| Buy and hold | 17.8% | -83.1% | 0.57 | 0.21 | 3.8x | 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 33-day average price crosses above the 124-day average
- Sell — Sell (to cash) when the 33-day average falls below the 124-day average