Trend-Following Backtester · Guide · backtest 한국어
equity · US
Vertex Pharmaceuticals Incorporated backtest
10 trend-following strategies were compared on the full daily history of Vertex Pharmaceuticals Incorporated. 0 beat buy-and-hold CAGR; ROC 모멘텀 ranks first by Sharpe, matching the main backtester. Its 99% market exposure makes it hold-like.
Results by strategy
0 of 10 beat buy and hold (CAGR 14.6%, drawdown -91.8%).
Sharpe leader (same as main): ROC 모멘텀 — CAGR 12.0%, MDD -91.8%, Sharpe 0.47, 99% exposure. With at least 95% exposure, it should be treated as hold-like, not strong evidence of timing skill.
No strategy retained at least 75% of buy-and-hold CAGR while reducing drawdown by both 20% relatively and 5 percentage points absolutely.
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 Hold-like · Exposure 99% n=1, threshold=-0.09 |
12.0% | -91.8% | 0.47 | 0.13 | 53.8x | 129 | 99% |
| Donchian 채널 돌파 entryN=20, exitN=27 |
10.5% | -66.1% | 0.44 | 0.16 | 33.1x | 163 | 60% |
| ADX / DI 방향성 period=23, threshold=13 |
10.0% | -62.5% | 0.43 | 0.16 | 28.7x | 373 | 46% |
| SMA 크로스오버 fast=56, slow=141 |
8.0% | -69.9% | 0.38 | 0.11 | 14.7x | 73 | 58% |
| Supertrend period=19, mult=4.4 |
6.8% | -78.7% | 0.36 | 0.09 | 10.1x | 125 | 56% |
| 볼린저 밴드 돌파 n=33, k=3.1 |
5.9% | -47.9% | 0.35 | 0.12 | 7.4x | 80 | 16% |
| EMA 크로스오버 fast=70, slow=157 |
4.9% | -80.1% | 0.32 | 0.06 | 5.4x | 55 | 59% |
| Parabolic SAR step=0.015, maxStep=0.12 |
1.8% | -86.6% | 0.23 | 0.02 | 1.9x | 589 | 51% |
| Keltner 채널 돌파 emaPeriod=37, atrPeriod=10, mult=3.5 |
2.5% | -73.9% | 0.22 | 0.03 | 2.4x | 86 | 19% |
| MACD fast=21, slow=37, signal=22 |
-1.7% | -96.0% | 0.14 | -0.02 | 0.5x | 387 | 49% |
| Buy and hold | 14.6% | -91.8% | 0.52 | 0.16 | 120.4x | 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 1-day return is greater than -9%
- Sell — Sell when the 1-day return drops to -9% or below