Trend-Following Backtester · Guide · backtest 한국어
equity · US
Madrigal Pharmaceuticals, Inc. backtest
10 trend-following strategies were compared on the full daily history of Madrigal Pharmaceuticals, Inc.. 6 beat buy-and-hold CAGR; Keltner 채널 돌파 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is Keltner 채널 돌파 (CAGR 7.8%, MDD -21.5%).
Results by strategy
6 of 10 beat buy and hold (CAGR 2.0%, drawdown -98.4%).
Sharpe leader (same as main): Keltner 채널 돌파 — CAGR 7.8%, MDD -21.5%, Sharpe 0.49, 3% exposure.
CAGR reference leader: ADX / DI 방향성 — CAGR 9.8%, MDD -67.0%, exposure 15%.
Return/drawdown alternative: Keltner 채널 돌파 — CAGR is 5.9%p higher than buy and hold, while drawdown improves by 76.9%p (CAGR 7.8%, MDD -21.5%, exposure 3%).
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 |
|---|---|---|---|---|---|---|---|
| Keltner 채널 돌파 emaPeriod=13, atrPeriod=11, mult=3.9 |
7.8% | -21.5% | 0.49 | 0.36 | 4.3x | 12 | 3% |
| 볼린저 밴드 돌파 n=25, k=3.5 |
8.1% | -33.4% | 0.46 | 0.24 | 4.5x | 24 | 7% |
| ADX / DI 방향성 period=11, threshold=34 |
9.8% | -67.0% | 0.42 | 0.15 | 6.2x | 108 | 15% |
| MACD fast=13, slow=38, signal=12 |
6.8% | -96.2% | 0.40 | 0.07 | 3.6x | 268 | 49% |
| ROC 모멘텀 n=144, threshold=0.06 |
6.9% | -88.3% | 0.34 | 0.08 | 3.7x | 134 | 43% |
| Donchian 채널 돌파 entryN=92, exitN=61 |
5.5% | -75.0% | 0.31 | 0.07 | 2.8x | 30 | 36% |
| SMA 크로스오버 fast=26, slow=179 |
0.8% | -93.0% | 0.30 | 0.01 | 1.2x | 45 | 47% |
| Supertrend period=11, mult=4.2 |
0.1% | -87.7% | 0.25 | 0.00 | 1.0x | 83 | 49% |
| Parabolic SAR step=0.005, maxStep=0.24 |
0.6% | -88.2% | 0.25 | 0.01 | 1.1x | 154 | 46% |
| EMA 크로스오버 fast=30, slow=192 |
-3.1% | -91.2% | 0.23 | -0.03 | 0.5x | 35 | 43% |
| Buy and hold | 2.0% | -98.4% | 0.42 | 0.02 | 1.5x | 1 | 100% |
Rules of the top strategy
Breaking above the channel top (average plus a multiple of volatility) signals an upside breakout.
- Buy — Buy when the close breaks above the 13-day average + 3.9× volatility (Keltner top)
- Sell — Sell when the close falls back to the 13-day average