Trend-Following Backtester · Guide · backtest 한국어
equity · US
Rigel Pharmaceuticals, Inc. backtest
10 trend-following strategies were compared on the full daily history of Rigel Pharmaceuticals, Inc.. 10 beat buy-and-hold CAGR; Supertrend ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is 볼린저 밴드 돌파 (CAGR 4.3%, MDD -74.0%).
Results by strategy
10 of 10 beat buy and hold (CAGR -10.5%, drawdown -99.4%).
Sharpe leader (same as main): Supertrend — CAGR 5.8%, MDD -87.0%, Sharpe 0.33, 47% exposure.
Return/drawdown alternative: 볼린저 밴드 돌파 — CAGR is 16.3%p higher than buy and hold, while drawdown improves by 12.4%p (CAGR 4.3%, MDD -74.0%, exposure 26%).
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=19, mult=2.3 |
5.8% | -87.0% | 0.33 | 0.07 | 4.2x | 216 | 47% |
| Donchian 채널 돌파 entryN=9, exitN=20 |
1.0% | -92.1% | 0.30 | 0.01 | 1.3x | 197 | 64% |
| 볼린저 밴드 돌파 n=25, k=2.1 |
4.3% | -74.0% | 0.29 | 0.06 | 2.9x | 164 | 26% |
| MACD fast=15, slow=53, signal=13 |
-0.2% | -94.2% | 0.27 | -0.00 | 1.0x | 330 | 51% |
| Parabolic SAR step=0.015, maxStep=0.12 |
-0.5% | -97.1% | 0.25 | -0.01 | 0.9x | 418 | 44% |
| ADX / DI 방향성 period=6, threshold=33 |
-2.4% | -92.8% | 0.18 | -0.03 | 0.5x | 482 | 29% |
| ROC 모멘텀 n=14, threshold=0.11 |
-2.3% | -90.7% | 0.16 | -0.03 | 0.5x | 496 | 21% |
| Keltner 채널 돌파 emaPeriod=26, atrPeriod=24, mult=2.1 |
-1.4% | -81.8% | 0.12 | -0.02 | 0.7x | 124 | 22% |
| EMA 크로스오버 fast=8, slow=28 |
-8.2% | -98.1% | 0.07 | -0.08 | 0.1x | 261 | 44% |
| SMA 크로스오버 fast=15, slow=18 |
-10.1% | -99.1% | 0.04 | -0.10 | 0.1x | 500 | 46% |
| Buy and hold | -10.5% | -99.4% | 0.26 | -0.11 | 0.1x | 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) — 19-day volatility, 2.3× band
- Sell — Sell when price drops below the trend line (flips down)