Trend-Following Backtester · Guide · backtest 한국어
equity · US
PTC Therapeutics, Inc. backtest
10 trend-following strategies were compared on the full daily history of PTC Therapeutics, Inc.. 2 beat buy-and-hold CAGR; Supertrend ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is Supertrend (CAGR 12.9%, MDD -59.7%).
Results by strategy
2 of 10 beat buy and hold (CAGR 11.5%, drawdown -94.6%).
Sharpe leader (same as main): Supertrend — CAGR 12.9%, MDD -59.7%, Sharpe 0.50, 56% exposure.
Return/drawdown alternative: Supertrend — CAGR is 1.4%p higher than buy and hold, while drawdown improves by 34.9%p (CAGR 12.9%, MDD -59.7%, exposure 56%).
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=8, mult=4.9 |
12.9% | -59.7% | 0.50 | 0.22 | 4.9x | 38 | 56% |
| SMA 크로스오버 fast=37, slow=210 |
12.0% | -63.1% | 0.48 | 0.19 | 4.5x | 23 | 60% |
| EMA 크로스오버 fast=56, slow=135 |
11.4% | -59.3% | 0.47 | 0.19 | 4.1x | 21 | 61% |
| ADX / DI 방향성 period=26, threshold=13 |
10.2% | -49.2% | 0.45 | 0.21 | 3.6x | 136 | 45% |
| MACD fast=9, slow=24, signal=6 |
8.4% | -78.1% | 0.42 | 0.11 | 2.9x | 317 | 51% |
| ROC 모멘텀 n=55, threshold=0.05 |
3.8% | -63.7% | 0.31 | 0.06 | 1.6x | 154 | 50% |
| Donchian 채널 돌파 entryN=35, exitN=53 |
0.8% | -74.2% | 0.26 | 0.01 | 1.1x | 37 | 61% |
| 볼린저 밴드 돌파 n=35, k=1.1 |
1.5% | -68.0% | 0.25 | 0.02 | 1.2x | 126 | 45% |
| Keltner 채널 돌파 emaPeriod=54, atrPeriod=17, mult=2 |
1.8% | -65.2% | 0.24 | 0.03 | 1.3x | 74 | 39% |
| Parabolic SAR step=0.04, maxStep=0.14 |
-5.1% | -84.4% | 0.18 | -0.06 | 0.5x | 381 | 53% |
| Buy and hold | 11.5% | -94.6% | 0.52 | 0.12 | 4.2x | 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) — 8-day volatility, 4.9× band
- Sell — Sell when price drops below the trend line (flips down)