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 21.2%, MDD -52.0%).
Results by strategy
3 of 10 beat buy and hold (CAGR 11.4%, drawdown -94.0%).
Sharpe leader (same as main): ROC 모멘텀 — CAGR 21.2%, MDD -52.0%, Sharpe 0.58, 37% exposure.
Return/drawdown alternative: ROC 모멘텀 — CAGR is 9.8%p higher than buy and hold, while drawdown improves by 42.0%p (CAGR 21.2%, MDD -52.0%, exposure 37%).
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 |
21.2% | -52.0% | 0.58 | 0.41 | 5.9x | 37 | 37% |
| ADX / DI 방향성 period=27, threshold=27 |
7.8% | -20.6% | 0.48 | 0.38 | 2.0x | 17 | 11% |
| Donchian 채널 돌파 entryN=66, exitN=70 |
12.0% | -72.9% | 0.44 | 0.16 | 2.9x | 11 | 39% |
| SMA 크로스오버 fast=75, slow=308 |
12.4% | -54.9% | 0.44 | 0.22 | 2.9x | 5 | 33% |
| MACD fast=9, slow=43, signal=19 |
9.9% | -92.3% | 0.43 | 0.11 | 2.4x | 126 | 49% |
| 볼린저 밴드 돌파 n=18, k=3.3 |
7.0% | -36.1% | 0.42 | 0.19 | 1.9x | 14 | 7% |
| Parabolic SAR step=0.015, maxStep=0.08 |
8.0% | -87.0% | 0.39 | 0.09 | 2.0x | 149 | 47% |
| Supertrend period=28, mult=3.4 |
7.4% | -87.1% | 0.38 | 0.09 | 1.9x | 43 | 45% |
| EMA 크로스오버 fast=57, slow=169 |
6.0% | -66.9% | 0.33 | 0.09 | 1.7x | 13 | 36% |
| 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 | 11.4% | -94.0% | 0.50 | 0.12 | 2.7x | 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