Trend-Following Backtester · Guide · backtest 한국어
equity · US
NewAmsterdam Pharma Company N.V. backtest
10 trend-following strategies were compared on the full daily history of NewAmsterdam Pharma Company N.V.. 2 beat buy-and-hold CAGR; SMA 크로스오버 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is ROC 모멘텀 (CAGR 16.9%, MDD -30.0%).
Results by strategy
2 of 10 beat buy and hold (CAGR 16.9%, drawdown -66.2%).
Sharpe leader (same as main): SMA 크로스오버 — CAGR 22.0%, MDD -36.2%, Sharpe 0.65, 51% exposure.
Return/drawdown alternative: ROC 모멘텀 — CAGR is 5.1%p higher than buy and hold, while drawdown improves by 30.0%p (CAGR 16.9%, MDD -30.0%, exposure 26%).
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=54, slow=73 |
22.0% | -36.2% | 0.65 | 0.61 | 3.0x | 18 | 51% |
| ROC 모멘텀 n=62, threshold=0.1 |
16.9% | -30.0% | 0.57 | 0.56 | 2.4x | 38 | 26% |
| Donchian 채널 돌파 entryN=36, exitN=22 |
16.6% | -37.7% | 0.56 | 0.44 | 2.4x | 18 | 49% |
| Parabolic SAR step=0.03, maxStep=0.32 |
14.9% | -44.5% | 0.53 | 0.33 | 2.2x | 124 | 42% |
| ADX / DI 방향성 period=20, threshold=26 |
12.7% | -30.9% | 0.51 | 0.41 | 1.9x | 18 | 27% |
| 볼린저 밴드 돌파 n=7, k=2.1 |
9.7% | -32.7% | 0.45 | 0.30 | 1.7x | 56 | 14% |
| Supertrend period=28, mult=3.3 |
9.5% | -56.8% | 0.42 | 0.17 | 1.7x | 28 | 53% |
| EMA 크로스오버 fast=30, slow=173 |
6.0% | -46.0% | 0.36 | 0.13 | 1.4x | 10 | 59% |
| Keltner 채널 돌파 emaPeriod=47, atrPeriod=18, mult=2.4 |
6.7% | -35.1% | 0.36 | 0.19 | 1.4x | 24 | 28% |
| MACD fast=5, slow=29, signal=8 |
-1.5% | -75.0% | 0.17 | -0.02 | 0.9x | 164 | 48% |
| Buy and hold | 16.9% | -66.2% | 0.55 | 0.25 | 2.4x | 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 54-day average price crosses above the 73-day average
- Sell — Sell (to cash) when the 54-day average falls below the 73-day average