Trend-Following Backtester · Guide · backtest 한국어
equity · US
Palvella Therapeutics, Inc. backtest
10 trend-following strategies were compared on the full daily history of Palvella Therapeutics, Inc.. 9 beat buy-and-hold CAGR; EMA 크로스오버 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is Keltner 채널 돌파 (CAGR 9.1%, MDD -42.0%).
Results by strategy
9 of 10 beat buy and hold (CAGR -3.1%, drawdown -99.1%).
Sharpe leader (same as main): EMA 크로스오버 — CAGR 26.3%, MDD -58.9%, Sharpe 0.74, 32% exposure.
Return/drawdown alternative: Keltner 채널 돌파 — CAGR is 29.5%p higher than buy and hold, while drawdown improves by 40.3%p (CAGR 9.1%, MDD -42.0%, exposure 22%).
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=33, slow=200 |
26.3% | -58.9% | 0.74 | 0.45 | 15.3x | 7 | 32% |
| SMA 크로스오버 fast=39, slow=255 |
22.7% | -69.5% | 0.67 | 0.33 | 10.9x | 11 | 37% |
| ROC 모멘텀 n=146, threshold=0.12 |
21.1% | -83.8% | 0.63 | 0.25 | 9.3x | 63 | 39% |
| ADX / DI 방향성 period=29, threshold=21 |
16.3% | -51.7% | 0.61 | 0.31 | 5.8x | 36 | 21% |
| Donchian 채널 돌파 entryN=84, exitN=60 |
18.0% | -76.1% | 0.58 | 0.24 | 6.9x | 11 | 34% |
| MACD fast=7, slow=12, signal=7 |
17.2% | -90.0% | 0.52 | 0.19 | 6.3x | 355 | 50% |
| Keltner 채널 돌파 emaPeriod=48, atrPeriod=29, mult=3.4 |
9.1% | -42.0% | 0.42 | 0.22 | 2.8x | 28 | 22% |
| 볼린저 밴드 돌파 n=51, k=3.1 |
8.8% | -45.3% | 0.42 | 0.19 | 2.7x | 26 | 22% |
| Supertrend period=25, mult=5 |
6.6% | -88.0% | 0.38 | 0.08 | 2.1x | 31 | 48% |
| Parabolic SAR step=0.02, maxStep=0.1 |
-4.4% | -99.1% | 0.25 | -0.04 | 0.6x | 223 | 47% |
| Buy and hold | -3.1% | -99.1% | 0.40 | -0.03 | 0.7x | 1 | 100% |
Rules of the top strategy
Uses two exponential averages (more weight on recent prices) and trades their crossover.
- Buy — Buy when the 33-day EMA crosses above the 200-day EMA
- Sell — Sell when the 33-day EMA falls below the 200-day EMA