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.. 9 beat buy-and-hold CAGR; ROC 모멘텀 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is 볼린저 밴드 돌파 (CAGR 37.3%, MDD -40.1%).
Results by strategy
9 of 10 beat buy and hold (CAGR 15.1%, drawdown -95.4%).
Sharpe leader (same as main): ROC 모멘텀 — CAGR 46.7%, MDD -58.6%, Sharpe 0.98, 41% exposure.
Return/drawdown alternative: 볼린저 밴드 돌파 — CAGR is 31.6%p higher than buy and hold, while drawdown improves by 36.8%p (CAGR 37.3%, MDD -40.1%, exposure 42%).
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 |
46.7% | -58.6% | 0.98 | 0.80 | 18.7x | 27 | 41% |
| SMA 크로스오버 fast=41, slow=176 |
45.7% | -63.0% | 0.96 | 0.73 | 17.8x | 9 | 44% |
| EMA 크로스오버 fast=11, slow=212 |
40.0% | -69.3% | 0.89 | 0.58 | 13.1x | 9 | 41% |
| Donchian 채널 돌파 entryN=101, exitN=74 |
38.9% | -73.3% | 0.88 | 0.53 | 12.3x | 7 | 44% |
| 볼린저 밴드 돌파 n=58, k=1.1 |
37.3% | -40.1% | 0.88 | 0.93 | 11.3x | 34 | 42% |
| Keltner 채널 돌파 emaPeriod=50, atrPeriod=21, mult=1 |
32.0% | -43.3% | 0.80 | 0.74 | 8.4x | 56 | 41% |
| Supertrend period=29, mult=2.6 |
29.5% | -54.8% | 0.76 | 0.54 | 7.2x | 66 | 41% |
| ADX / DI 방향성 period=19, threshold=17 |
27.1% | -59.1% | 0.72 | 0.46 | 6.3x | 82 | 41% |
| Parabolic SAR step=0.025, maxStep=0.2 |
22.4% | -85.2% | 0.64 | 0.26 | 4.7x | 172 | 46% |
| MACD fast=12, slow=49, signal=15 |
6.0% | -89.1% | 0.38 | 0.07 | 1.6x | 90 | 53% |
| Buy and hold | 15.1% | -95.4% | 0.55 | 0.16 | 2.9x | 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