Trend-Following Backtester · Guide · backtest 한국어
equity · US
Royalty Pharma plc backtest
10 trend-following strategies were compared on the full daily history of Royalty Pharma plc. 4 beat buy-and-hold CAGR; Keltner 채널 돌파 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is Keltner 채널 돌파 (CAGR 6.4%, MDD -13.0%).
Results by strategy
4 of 10 beat buy and hold (CAGR 5.2%, drawdown -54.0%).
Sharpe leader (same as main): Keltner 채널 돌파 — CAGR 6.4%, MDD -13.0%, Sharpe 0.70, 17% exposure.
CAGR reference leader: Donchian 채널 돌파 — CAGR 8.7%, MDD -30.4%, exposure 47%.
Return/drawdown alternative: Keltner 채널 돌파 — CAGR is 1.1%p higher than buy and hold, while drawdown improves by 41.0%p (CAGR 6.4%, MDD -13.0%, exposure 17%).
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 |
|---|---|---|---|---|---|---|---|
| Keltner 채널 돌파 emaPeriod=55, atrPeriod=25, mult=4 |
6.4% | -13.0% | 0.70 | 0.49 | 1.5x | 5 | 17% |
| EMA 크로스오버 fast=42, slow=195 |
8.4% | -20.4% | 0.65 | 0.41 | 1.7x | 5 | 38% |
| SMA 크로스오버 fast=43, slow=210 |
8.6% | -22.5% | 0.64 | 0.38 | 1.7x | 7 | 41% |
| 볼린저 밴드 돌파 n=18, k=3.4 |
1.7% | -3.0% | 0.62 | 0.56 | 1.1x | 2 | 2% |
| Donchian 채널 돌파 entryN=70, exitN=48 |
8.7% | -30.4% | 0.56 | 0.29 | 1.7x | 7 | 47% |
| ROC 모멘텀 n=146, threshold=0.12 |
5.1% | -24.4% | 0.48 | 0.21 | 1.4x | 33 | 26% |
| ADX / DI 방향성 period=34, threshold=19 |
2.3% | -8.2% | 0.37 | 0.28 | 1.1x | 7 | 8% |
| Supertrend period=22, mult=2.6 |
1.0% | -55.0% | 0.15 | 0.02 | 1.1x | 43 | 49% |
| MACD fast=8, slow=34, signal=12 |
-5.8% | -55.2% | -0.23 | -0.11 | 0.7x | 121 | 49% |
| Parabolic SAR step=0.01, maxStep=0.26 |
-7.9% | -66.1% | -0.32 | -0.12 | 0.6x | 87 | 52% |
| Buy and hold | 5.2% | -54.0% | 0.33 | 0.10 | 1.4x | 1 | 100% |
Rules of the top strategy
Breaking above the channel top (average plus a multiple of volatility) signals an upside breakout.
- Buy — Buy when the close breaks above the 55-day average + 4× volatility (Keltner top)
- Sell — Sell when the close falls back to the 55-day average