Trend-Following Backtester · Guide · backtest 한국어
equity · US
UroGen Pharma Ltd. backtest
10 trend-following strategies were compared on the full daily history of UroGen Pharma Ltd.. 3 beat buy-and-hold CAGR; ROC 모멘텀 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is ROC 모멘텀 (CAGR 22.6%, MDD -52.0%).
Results by strategy
3 of 10 beat buy and hold (CAGR 12.8%, drawdown -94.0%).
Sharpe leader (same as main): ROC 모멘텀 — CAGR 22.6%, MDD -52.0%, Sharpe 0.60, 38% exposure.
Return/drawdown alternative: ROC 모멘텀 — CAGR is 9.8%p higher than buy and hold, while drawdown improves by 42.0%p (CAGR 22.6%, MDD -52.0%, exposure 38%).
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=155, threshold=0.05 |
22.6% | -52.0% | 0.60 | 0.43 | 6.7x | 37 | 38% |
| ADX / DI 방향성 period=27, threshold=27 |
9.1% | -20.6% | 0.53 | 0.44 | 2.3x | 17 | 12% |
| Donchian 채널 돌파 entryN=66, exitN=70 |
13.3% | -72.9% | 0.46 | 0.18 | 3.2x | 11 | 39% |
| SMA 크로스오버 fast=75, slow=308 |
13.7% | -54.9% | 0.46 | 0.25 | 3.3x | 5 | 33% |
| MACD fast=9, slow=43, signal=19 |
9.5% | -92.3% | 0.42 | 0.10 | 2.3x | 128 | 49% |
| 볼린저 밴드 돌파 n=18, k=3.3 |
7.0% | -36.1% | 0.42 | 0.19 | 1.9x | 14 | 7% |
| Supertrend period=28, mult=3.4 |
8.8% | -87.1% | 0.41 | 0.10 | 2.2x | 43 | 45% |
| Parabolic SAR step=0.015, maxStep=0.08 |
7.0% | -87.0% | 0.38 | 0.08 | 1.9x | 152 | 47% |
| EMA 크로스오버 fast=57, slow=169 |
7.3% | -66.9% | 0.35 | 0.11 | 1.9x | 13 | 37% |
| Keltner 채널 돌파 emaPeriod=25, atrPeriod=14, mult=3.9 |
3.3% | -27.8% | 0.27 | 0.12 | 1.4x | 8 | 5% |
| Buy and hold | 12.8% | -94.0% | 0.52 | 0.14 | 3.1x | 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 155-day return is greater than 5%
- Sell — Sell when the 155-day return drops to 5% or below