Trend-Following Backtester · Guide · backtest 한국어
equity · US
Moderna, Inc. backtest
10 trend-following strategies were compared on the full daily history of Moderna, Inc.. 7 beat buy-and-hold CAGR; ROC 모멘텀 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is Keltner 채널 돌파 (CAGR 45.7%, MDD -43.3%).
Results by strategy
7 of 10 beat buy and hold (CAGR 29.8%, drawdown -95.4%).
Sharpe leader (same as main): ROC 모멘텀 — CAGR 65.0%, MDD -58.6%, Sharpe 0.89, 42% exposure.
Return/drawdown alternative: Keltner 채널 돌파 — CAGR is 35.2%p higher than buy and hold, while drawdown improves by 36.8%p (CAGR 45.7%, MDD -43.3%, exposure 41%).
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 |
|---|---|---|---|---|---|---|---|
| ROC 모멘텀 n=137, threshold=0.13 |
65.0% | -58.6% | 0.89 | 1.11 | 47.9x | 27 | 42% |
| SMA 크로스오버 fast=41, slow=176 |
63.8% | -63.0% | 0.88 | 1.01 | 45.5x | 9 | 44% |
| EMA 크로스오버 fast=11, slow=212 |
57.5% | -69.3% | 0.83 | 0.83 | 33.6x | 9 | 42% |
| Donchian 채널 돌파 entryN=101, exitN=74 |
56.3% | -73.3% | 0.83 | 0.77 | 31.6x | 7 | 45% |
| 볼린저 밴드 돌파 n=58, k=1.1 |
32.9% | -50.0% | 0.81 | 0.66 | 9.0x | 35 | 42% |
| Keltner 채널 돌파 emaPeriod=50, atrPeriod=21, mult=1 |
45.7% | -43.3% | 0.74 | 1.06 | 18.3x | 57 | 41% |
| ADX / DI 방향성 period=19, threshold=17 |
27.5% | -59.1% | 0.72 | 0.47 | 6.6x | 83 | 41% |
| Supertrend period=29, mult=2.6 |
25.5% | -54.8% | 0.70 | 0.47 | 5.8x | 67 | 41% |
| Parabolic SAR step=0.025, maxStep=0.2 |
36.9% | -85.2% | 0.67 | 0.43 | 11.3x | 176 | 47% |
| MACD fast=12, slow=49, signal=15 |
17.3% | -89.1% | 0.49 | 0.19 | 3.4x | 91 | 53% |
| Buy and hold | 29.8% | -95.4% | 0.64 | 0.31 | 7.5x | 1 | 100% |
Rules of the top strategy
Rides the trend when recent return (momentum) over a window is above a threshold.
- Buy — Buy when the last 137-day return is greater than 13%
- Sell — Sell when the 137-day return drops to 13% or below