Trend-Following Backtester · Guide · backtest 한국어
equity · US
Supernus Pharmaceuticals, Inc. backtest
10 trend-following strategies were compared on the full daily history of Supernus Pharmaceuticals, Inc.. 0 beat buy-and-hold CAGR; Donchian 채널 돌파 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is Supertrend (CAGR 14.2%, MDD -49.4%).
Results by strategy
0 of 10 beat buy and hold (CAGR 16.0%, drawdown -75.9%).
Sharpe leader (same as main): Donchian 채널 돌파 — CAGR 13.2%, MDD -44.0%, Sharpe 0.53, 64% exposure.
CAGR reference leader: Supertrend — CAGR 14.2%, MDD -49.4%, exposure 49%.
Return/drawdown alternative: Supertrend — CAGR is 2.7%p lower than buy and hold, while drawdown improves by 31.9%p (CAGR 14.2%, MDD -49.4%, exposure 49%).
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 |
|---|---|---|---|---|---|---|---|
| Donchian 채널 돌파 entryN=63, exitN=131 |
13.2% | -44.0% | 0.53 | 0.30 | 5.9x | 10 | 64% |
| Supertrend period=26, mult=4.2 |
14.2% | -49.4% | 0.48 | 0.29 | 6.6x | 44 | 49% |
| SMA 크로스오버 fast=33, slow=170 |
9.7% | -55.8% | 0.45 | 0.17 | 3.7x | 26 | 55% |
| 볼린저 밴드 돌파 n=51, k=3.2 |
5.5% | -34.2% | 0.41 | 0.16 | 2.1x | 18 | 12% |
| EMA 크로스오버 fast=58, slow=170 |
8.3% | -57.0% | 0.41 | 0.15 | 3.1x | 20 | 56% |
| MACD fast=19, slow=27, signal=12 |
3.5% | -76.2% | 0.27 | 0.05 | 1.6x | 214 | 52% |
| ROC 모멘텀 n=102, threshold=0.02 |
2.2% | -74.4% | 0.23 | 0.03 | 1.4x | 144 | 52% |
| Parabolic SAR step=0.02, maxStep=0.34 |
-1.6% | -88.9% | 0.16 | -0.02 | 0.8x | 304 | 53% |
| Keltner 채널 돌파 emaPeriod=38, atrPeriod=14, mult=3.7 |
1.0% | -27.6% | 0.14 | 0.04 | 1.2x | 18 | 10% |
| ADX / DI 방향성 period=28, threshold=38 |
0.2% | -17.8% | 0.06 | 0.01 | 1.0x | 2 | 1% |
| Buy and hold | 16.0% | -75.9% | 0.51 | 0.21 | 8.3x | 1 | 100% |
Rules of the top strategy
A new high means a trend starting; a new low means it’s over (turtle-trading style).
- Buy — Buy on a breakout above the highest high of the last 63 days
- Sell — Sell when price breaks below the lowest low of the last 131 days