Trend-Following Backtester · Guide · backtest 한국어
equity · US
Summit Therapeutics Inc. backtest
10 trend-following strategies were compared on the full daily history of Summit Therapeutics Inc.. 7 beat buy-and-hold CAGR; ROC 모멘텀 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is 볼린저 밴드 돌파 (CAGR 3.4%, MDD -68.5%).
Results by strategy
7 of 10 beat buy and hold (CAGR 2.5%, drawdown -95.7%).
Sharpe leader (same as main): ROC 모멘텀 — CAGR 18.0%, MDD -75.6%, Sharpe 0.50, 46% exposure.
Return/drawdown alternative: 볼린저 밴드 돌파 — CAGR is 15.5%p higher than buy and hold, while drawdown improves by 20.1%p (CAGR 3.4%, MDD -68.5%, exposure 36%).
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 |
|---|---|---|---|---|---|---|---|
| ROC 모멘텀 n=140, threshold=0.06 |
18.0% | -75.6% | 0.50 | 0.24 | 6.7x | 116 | 46% |
| Donchian 채널 돌파 entryN=100, exitN=75 |
7.6% | -75.6% | 0.47 | 0.10 | 2.3x | 10 | 60% |
| EMA 크로스오버 fast=12, slow=127 |
14.6% | -76.1% | 0.47 | 0.19 | 4.8x | 40 | 47% |
| SMA 크로스오버 fast=56, slow=166 |
3.8% | -91.7% | 0.43 | 0.04 | 1.5x | 14 | 52% |
| Supertrend period=15, mult=3 |
6.7% | -72.6% | 0.42 | 0.09 | 2.1x | 64 | 45% |
| MACD fast=17, slow=38, signal=16 |
1.8% | -75.7% | 0.37 | 0.02 | 1.2x | 125 | 51% |
| 볼린저 밴드 돌파 n=37, k=1.1 |
3.4% | -68.5% | 0.37 | 0.05 | 1.5x | 92 | 36% |
| Parabolic SAR step=0.01, maxStep=0.3 |
1.1% | -91.3% | 0.35 | 0.01 | 1.1x | 136 | 43% |
| ADX / DI 방향성 period=30, threshold=28 |
2.9% | -74.7% | 0.25 | 0.04 | 1.4x | 14 | 9% |
| Keltner 채널 돌파 emaPeriod=23, atrPeriod=25, mult=1.6 |
-3.2% | -76.8% | 0.22 | -0.04 | 0.7x | 76 | 22% |
| Buy and hold | 2.5% | -95.7% | 0.52 | 0.03 | 1.3x | 1 | 100% |
Rules of the top strategy
Rides the trend when recent return (momentum) over a window is above a threshold.
- Buy — Buy when the last 140-day return is greater than 6%
- Sell — Sell when the 140-day return drops to 6% or below