Trend-Following Backtester · Guide · backtest 한국어
equity · US
Pharvaris N.V. backtest
10 trend-following strategies were compared on the full daily history of Pharvaris N.V.. 10 beat buy-and-hold CAGR; SMA 크로스오버 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is ADX / DI 방향성 (CAGR 20.0%, MDD -46.8%).
Results by strategy
10 of 10 beat buy and hold (CAGR 2.1%, drawdown -95.1%).
Sharpe leader (same as main): SMA 크로스오버 — CAGR 28.0%, MDD -50.8%, Sharpe 0.72, 57% exposure.
Return/drawdown alternative: ADX / DI 방향성 — CAGR is 25.9%p higher than buy and hold, while drawdown improves by 44.3%p (CAGR 20.0%, MDD -46.8%, exposure 19%).
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=15, slow=139 |
28.0% | -50.8% | 0.72 | 0.55 | 3.9x | 11 | 57% |
| Donchian 채널 돌파 entryN=11, exitN=38 |
14.9% | -62.6% | 0.52 | 0.24 | 2.1x | 19 | 62% |
| EMA 크로스오버 fast=8, slow=113 |
12.8% | -53.5% | 0.48 | 0.24 | 1.9x | 23 | 52% |
| Supertrend period=7, mult=4.9 |
7.9% | -83.2% | 0.43 | 0.09 | 1.5x | 11 | 71% |
| Parabolic SAR step=0.01, maxStep=0.3 |
15.1% | -68.3% | 0.41 | 0.22 | 2.2x | 66 | 46% |
| ADX / DI 방향성 period=8, threshold=34 |
20.0% | -46.8% | 0.40 | 0.43 | 2.7x | 54 | 19% |
| ROC 모멘텀 n=154, threshold=0.01 |
7.4% | -75.2% | 0.39 | 0.10 | 1.5x | 43 | 49% |
| MACD fast=16, slow=58, signal=19 |
4.8% | -70.9% | 0.35 | 0.07 | 1.3x | 60 | 49% |
| 볼린저 밴드 돌파 n=27, k=3 |
6.4% | -47.5% | 0.35 | 0.13 | 1.4x | 14 | 15% |
| Keltner 채널 돌파 emaPeriod=39, atrPeriod=15, mult=3.7 |
3.4% | -49.2% | 0.27 | 0.07 | 1.2x | 10 | 18% |
| Buy and hold | 2.1% | -95.1% | 0.41 | 0.02 | 1.1x | 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 15-day average price crosses above the 139-day average
- Sell — Sell (to cash) when the 15-day average falls below the 139-day average