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 5.6%, MDD -13.0%).
Results by strategy
4 of 10 beat buy and hold (CAGR 4.5%, drawdown -54.0%).
Sharpe leader (same as main): Keltner 채널 돌파 — CAGR 5.6%, MDD -13.0%, Sharpe 0.64, 16% exposure.
CAGR reference leader: Donchian 채널 돌파 — CAGR 7.9%, MDD -30.4%, exposure 46%.
Return/drawdown alternative: Keltner 채널 돌파 — CAGR is 1.1%p higher than buy and hold, while drawdown improves by 41.0%p (CAGR 5.6%, MDD -13.0%, exposure 16%).
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 |
5.6% | -13.0% | 0.64 | 0.43 | 1.4x | 5 | 16% |
| 볼린저 밴드 돌파 n=18, k=3.4 |
1.7% | -3.0% | 0.63 | 0.56 | 1.1x | 2 | 2% |
| EMA 크로스오버 fast=42, slow=195 |
7.7% | -20.4% | 0.60 | 0.38 | 1.6x | 5 | 37% |
| SMA 크로스오버 fast=43, slow=210 |
7.8% | -22.5% | 0.60 | 0.35 | 1.6x | 7 | 40% |
| Donchian 채널 돌파 entryN=70, exitN=48 |
7.9% | -30.4% | 0.53 | 0.26 | 1.6x | 7 | 46% |
| ROC 모멘텀 n=146, threshold=0.12 |
4.3% | -24.4% | 0.42 | 0.18 | 1.3x | 33 | 25% |
| ADX / DI 방향성 period=34, threshold=19 |
1.5% | -8.2% | 0.27 | 0.18 | 1.1x | 7 | 7% |
| Supertrend period=22, mult=2.6 |
0.2% | -55.0% | 0.11 | 0.00 | 1.0x | 43 | 49% |
| MACD fast=8, slow=34, signal=12 |
-6.2% | -55.2% | -0.25 | -0.11 | 0.7x | 119 | 49% |
| Parabolic SAR step=0.01, maxStep=0.26 |
-8.0% | -66.1% | -0.32 | -0.12 | 0.6x | 85 | 52% |
| Buy and hold | 4.5% | -54.0% | 0.30 | 0.08 | 1.3x | 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