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 22.4%, MDD -50.7%).
Results by strategy
2 of 10 beat buy and hold (CAGR 18.4%, drawdown -83.1%).
Sharpe leader (same as main): SMA 크로스오버 — CAGR 22.4%, MDD -50.7%, Sharpe 0.66, 55% exposure.
Return/drawdown alternative: SMA 크로스오버 — CAGR is 4.1%p higher than buy and hold, while drawdown improves by 32.4%p (CAGR 22.4%, MDD -50.7%, exposure 55%).
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 |
22.4% | -50.7% | 0.66 | 0.44 | 5.3x | 19 | 55% |
| EMA 크로스오버 fast=50, slow=97 |
20.2% | -50.9% | 0.62 | 0.40 | 4.6x | 13 | 58% |
| Supertrend period=10, mult=2.4 |
17.1% | -67.0% | 0.57 | 0.26 | 3.7x | 65 | 51% |
| Donchian 채널 돌파 entryN=83, exitN=66 |
16.0% | -63.3% | 0.56 | 0.25 | 3.4x | 11 | 50% |
| ADX / DI 방향성 period=18, threshold=19 |
10.9% | -52.3% | 0.46 | 0.21 | 2.4x | 75 | 32% |
| ROC 모멘텀 n=61, threshold=-0.06 |
11.5% | -79.8% | 0.46 | 0.14 | 2.5x | 87 | 63% |
| 볼린저 밴드 돌파 n=12, k=2.7 |
5.2% | -32.3% | 0.33 | 0.16 | 1.5x | 40 | 12% |
| Keltner 채널 돌파 emaPeriod=45, atrPeriod=9, mult=1.1 |
5.4% | -66.2% | 0.33 | 0.08 | 1.5x | 69 | 46% |
| MACD fast=12, slow=35, signal=15 |
1.1% | -75.3% | 0.25 | 0.01 | 1.1x | 120 | 48% |
| Parabolic SAR step=0.015, maxStep=0.2 |
1.0% | -79.0% | 0.24 | 0.01 | 1.1x | 151 | 49% |
| Buy and hold | 18.4% | -83.1% | 0.58 | 0.22 | 4.0x | 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