Trend-Following Backtester · Guide · backtest 한국어
equity · US
Ligand Pharmaceuticals Incorporated backtest
10 trend-following strategies were compared on the full daily history of Ligand Pharmaceuticals Incorporated. 5 beat buy-and-hold CAGR; Supertrend ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is Donchian 채널 돌파 (CAGR 7.4%, MDD -68.5%).
Results by strategy
5 of 10 beat buy and hold (CAGR 5.6%, drawdown -95.0%).
Sharpe leader (same as main): Supertrend — CAGR 8.7%, MDD -79.1%, Sharpe 0.41, 52% exposure.
Return/drawdown alternative: Donchian 채널 돌파 — CAGR is 3.1%p higher than buy and hold, while drawdown improves by 15.9%p (CAGR 7.4%, MDD -68.5%, exposure 44%).
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 |
|---|---|---|---|---|---|---|---|
| Supertrend period=23, mult=4.4 |
8.7% | -79.1% | 0.41 | 0.11 | 16.5x | 105 | 52% |
| Donchian 채널 돌파 entryN=53, exitN=38 |
7.4% | -68.5% | 0.38 | 0.11 | 11.2x | 85 | 44% |
| SMA 크로스오버 fast=20, slow=165 |
7.3% | -83.4% | 0.37 | 0.09 | 10.6x | 75 | 53% |
| EMA 크로스오버 fast=38, slow=49 |
6.9% | -80.7% | 0.37 | 0.09 | 9.5x | 105 | 55% |
| Parabolic SAR step=0.005, maxStep=0.34 |
6.2% | -83.1% | 0.35 | 0.08 | 7.7x | 258 | 52% |
| ADX / DI 방향성 period=19, threshold=37 |
3.9% | -35.6% | 0.33 | 0.11 | 3.6x | 50 | 6% |
| 볼린저 밴드 돌파 n=23, k=3.2 |
3.7% | -46.9% | 0.31 | 0.08 | 3.5x | 58 | 9% |
| Keltner 채널 돌파 emaPeriod=57, atrPeriod=19, mult=3.5 |
3.9% | -71.4% | 0.28 | 0.05 | 3.6x | 89 | 25% |
| ROC 모멘텀 n=128, threshold=0.03 |
0.6% | -90.2% | 0.20 | 0.01 | 1.2x | 307 | 51% |
| MACD fast=17, slow=50, signal=15 |
-4.1% | -88.4% | 0.10 | -0.05 | 0.2x | 432 | 51% |
| Buy and hold | 5.6% | -95.0% | 0.39 | 0.06 | 6.2x | 1 | 100% |
Rules of the top strategy
Trades the direction of a volatility-based trend line that trails below/above price.
- Buy — Buy when price moves above the trend line (flips up) — 23-day volatility, 4.4× band
- Sell — Sell when price drops below the trend line (flips down)