Trend-Following Backtester · Guide · backtest 한국어
equity · US
Oruka Therapeutics, Inc. backtest
10 trend-following strategies were compared on the full daily history of Oruka Therapeutics, Inc.. 10 beat buy-and-hold CAGR; EMA 크로스오버 ranks first by Sharpe, matching the main backtester.
Results by strategy
10 of 10 beat buy and hold (CAGR -32.4%, drawdown -100.0%).
Sharpe leader (same as main): EMA 크로스오버 — CAGR 4.4%, MDD -96.9%, Sharpe 0.34, 17% exposure.
No strategy retained at least 75% of buy-and-hold CAGR while reducing drawdown by both 20% relatively and 5 percentage points absolutely.
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 |
|---|---|---|---|---|---|---|---|
| EMA 크로스오버 fast=68, slow=213 |
4.4% | -96.9% | 0.34 | 0.05 | 3.5x | 17 | 17% |
| ADX / DI 방향성 period=14, threshold=27 |
-0.9% | -96.7% | 0.23 | -0.01 | 0.8x | 189 | 23% |
| Donchian 채널 돌파 entryN=49, exitN=38 |
-5.2% | -99.9% | 0.21 | -0.05 | 0.2x | 57 | 31% |
| Supertrend period=21, mult=4.5 |
-7.5% | -99.9% | 0.21 | -0.07 | 0.1x | 81 | 32% |
| SMA 크로스오버 fast=39, slow=147 |
-6.1% | -100.0% | 0.20 | -0.06 | 0.2x | 47 | 28% |
| 볼린저 밴드 돌파 n=35, k=2.3 |
-5.1% | -99.5% | 0.16 | -0.05 | 0.2x | 125 | 19% |
| Parabolic SAR step=0.05, maxStep=0.06 |
-13.0% | -99.9% | 0.13 | -0.13 | 0.0x | 497 | 38% |
| ROC 모멘텀 n=61, threshold=0.03 |
-13.3% | -100.0% | 0.12 | -0.13 | 0.0x | 335 | 33% |
| MACD fast=9, slow=55, signal=7 |
-16.4% | -100.0% | 0.11 | -0.16 | 0.0x | 606 | 53% |
| Keltner 채널 돌파 emaPeriod=58, atrPeriod=20, mult=1.2 |
-13.5% | -100.0% | 0.02 | -0.13 | 0.0x | 145 | 24% |
| Buy and hold | -32.4% | -100.0% | 0.13 | -0.32 | 0.0x | 1 | 100% |
Rules of the top strategy
Uses two exponential averages (more weight on recent prices) and trades their crossover.
- Buy — Buy when the 68-day EMA crosses above the 213-day EMA
- Sell — Sell when the 68-day EMA falls below the 213-day EMA