Trend-Following Backtester · Guide · backtest 한국어
equity · US
Replimune Group, Inc. backtest
10 trend-following strategies were compared on the full daily history of Replimune Group, Inc.. 4 beat buy-and-hold CAGR; SMA 크로스오버 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is 볼린저 밴드 돌파 (CAGR 1.3%, MDD -17.2%).
Results by strategy
4 of 10 beat buy and hold (CAGR 0.1%, drawdown -96.8%).
Sharpe leader (same as main): SMA 크로스오버 — CAGR 4.4%, MDD -85.8%, Sharpe 0.44, 45% exposure.
Return/drawdown alternative: 볼린저 밴드 돌파 — CAGR is 4.4%p higher than buy and hold, while drawdown improves by 11.0%p (CAGR 1.3%, MDD -17.2%, exposure 2%).
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=29, slow=89 |
4.4% | -85.8% | 0.44 | 0.05 | 1.4x | 25 | 45% |
| MACD fast=18, slow=28, signal=21 |
-4.6% | -94.8% | 0.37 | -0.05 | 0.7x | 87 | 48% |
| ROC 모멘텀 n=13, threshold=-0.02 |
-8.4% | -98.2% | 0.32 | -0.09 | 0.5x | 203 | 54% |
| Donchian 채널 돌파 entryN=85, exitN=41 |
1.3% | -67.6% | 0.26 | 0.02 | 1.1x | 13 | 32% |
| Keltner 채널 돌파 emaPeriod=21, atrPeriod=18, mult=3.4 |
2.6% | -32.3% | 0.22 | 0.08 | 1.2x | 14 | 10% |
| ADX / DI 방향성 period=19, threshold=8 |
-13.8% | -96.2% | 0.22 | -0.14 | 0.3x | 145 | 52% |
| Supertrend period=9, mult=2.7 |
-13.6% | -94.1% | 0.22 | -0.14 | 0.3x | 57 | 47% |
| 볼린저 밴드 돌파 n=11, k=3 |
1.3% | -17.2% | 0.18 | 0.08 | 1.1x | 6 | 2% |
| EMA 크로스오버 fast=20, slow=51 |
-13.1% | -92.9% | 0.17 | -0.14 | 0.3x | 33 | 45% |
| Parabolic SAR step=0.005, maxStep=0.32 |
-17.6% | -94.5% | 0.09 | -0.19 | 0.2x | 69 | 49% |
| Buy and hold | 0.1% | -96.8% | 0.56 | 0.00 | 1.0x | 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 29-day average price crosses above the 89-day average
- Sell — Sell (to cash) when the 29-day average falls below the 89-day average