Trend-Following Backtester · Guide · backtest 한국어
equity · US
Neurocrine Biosciences, Inc. backtest
10 trend-following strategies were compared on the full daily history of Neurocrine Biosciences, Inc.. 1 beat buy-and-hold CAGR; SMA 크로스오버 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is SMA 크로스오버 (CAGR 9.8%, MDD -77.3%).
Results by strategy
1 of 10 beat buy and hold (CAGR 8.6%, drawdown -97.2%).
Sharpe leader (same as main): SMA 크로스오버 — CAGR 9.8%, MDD -77.3%, Sharpe 0.42, 55% exposure.
Return/drawdown alternative: SMA 크로스오버 — CAGR is 1.2%p higher than buy and hold, while drawdown improves by 19.9%p (CAGR 9.8%, MDD -77.3%, exposure 55%).
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=34, slow=47 |
9.8% | -77.3% | 0.42 | 0.13 | 17.0x | 208 | 55% |
| 볼린저 밴드 돌파 n=46, k=3.2 |
7.2% | -59.2% | 0.40 | 0.12 | 8.1x | 48 | 15% |
| Donchian 채널 돌파 entryN=17, exitN=86 |
7.7% | -91.8% | 0.40 | 0.08 | 9.4x | 79 | 80% |
| EMA 크로스오버 fast=29, slow=168 |
6.9% | -66.1% | 0.37 | 0.10 | 7.6x | 57 | 53% |
| Supertrend period=12, mult=3.4 |
6.8% | -75.0% | 0.35 | 0.09 | 7.3x | 162 | 53% |
| MACD fast=13, slow=29, signal=24 |
2.8% | -91.1% | 0.28 | 0.03 | 2.3x | 370 | 52% |
| ADX / DI 방향성 period=33, threshold=33 |
3.1% | -38.4% | 0.27 | 0.08 | 2.5x | 4 | 2% |
| Keltner 채널 돌파 emaPeriod=16, atrPeriod=26, mult=3.4 |
3.1% | -47.6% | 0.27 | 0.07 | 2.5x | 36 | 5% |
| Parabolic SAR step=0.02, maxStep=0.14 |
-0.8% | -83.9% | 0.20 | -0.01 | 0.8x | 635 | 51% |
| ROC 모멘텀 n=123, threshold=0.05 |
0.3% | -91.4% | 0.19 | 0.00 | 1.1x | 303 | 47% |
| Buy and hold | 8.6% | -97.2% | 0.44 | 0.09 | 12.3x | 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 34-day average price crosses above the 47-day average
- Sell — Sell (to cash) when the 34-day average falls below the 47-day average