Trend-Following Backtester · Guide · backtest 한국어
equity · US
Omeros Corporation backtest
10 trend-following strategies were compared on the full daily history of Omeros Corporation. 7 beat buy-and-hold CAGR; Supertrend ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is Supertrend (CAGR 14.8%, MDD -60.4%).
Results by strategy
7 of 10 beat buy and hold (CAGR 4.6%, drawdown -96.0%).
Sharpe leader (same as main): Supertrend — CAGR 14.8%, MDD -60.4%, Sharpe 0.51, 44% exposure.
Return/drawdown alternative: Supertrend — CAGR is 10.2%p higher than buy and hold, while drawdown improves by 35.5%p (CAGR 14.8%, MDD -60.4%, exposure 44%).
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 |
|---|---|---|---|---|---|---|---|
| Supertrend period=23, mult=1.8 |
14.8% | -60.4% | 0.51 | 0.25 | 10.3x | 205 | 44% |
| Donchian 채널 돌파 entryN=1, exitN=9 |
11.5% | -96.1% | 0.50 | 0.12 | 6.3x | 335 | 78% |
| ADX / DI 방향성 period=21, threshold=15 |
13.8% | -78.1% | 0.48 | 0.18 | 8.9x | 177 | 41% |
| Parabolic SAR step=0.01, maxStep=0.34 |
11.1% | -90.3% | 0.47 | 0.12 | 6.0x | 198 | 47% |
| MACD fast=15, slow=35, signal=12 |
9.0% | -80.6% | 0.44 | 0.11 | 4.3x | 229 | 52% |
| SMA 크로스오버 fast=53, slow=159 |
4.6% | -86.1% | 0.37 | 0.05 | 2.2x | 31 | 49% |
| EMA 크로스오버 fast=56, slow=155 |
5.4% | -83.8% | 0.36 | 0.06 | 2.4x | 25 | 48% |
| 볼린저 밴드 돌파 n=27, k=1.4 |
2.2% | -84.3% | 0.30 | 0.03 | 1.4x | 157 | 34% |
| ROC 모멘텀 n=28, threshold=-0.04 |
-6.2% | -97.9% | 0.24 | -0.06 | 0.3x | 365 | 56% |
| Keltner 채널 돌파 emaPeriod=53, atrPeriod=20, mult=1.8 |
-5.3% | -95.1% | 0.17 | -0.06 | 0.4x | 89 | 31% |
| Buy and hold | 4.6% | -96.0% | 0.48 | 0.05 | 2.1x | 1 | 100% |
Rules of the top strategy
Trades the direction of a volatility-based trend line that trails below/above price.
- Buy — Buy when price moves above the trend line (flips up) — 23-day volatility, 1.8× band
- Sell — Sell when price drops below the trend line (flips down)