Trend-Following Backtester · Guide · backtest 한국어
equity · US
Nuvation Bio Inc. backtest
10 trend-following strategies were compared on the full daily history of Nuvation Bio Inc.. 8 beat buy-and-hold CAGR; SMA 크로스오버 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is Donchian 채널 돌파 (CAGR 15.0%, MDD -41.9%).
Results by strategy
8 of 10 beat buy and hold (CAGR -6.1%, drawdown -93.4%).
Sharpe leader (same as main): SMA 크로스오버 — CAGR 21.4%, MDD -65.0%, Sharpe 0.61, 45% exposure.
Return/drawdown alternative: Donchian 채널 돌파 — CAGR is 27.5%p higher than buy and hold, while drawdown improves by 28.4%p (CAGR 15.0%, MDD -41.9%, exposure 15%).
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 |
|---|---|---|---|---|---|---|---|
| SMA 크로스오버 fast=50, slow=64 |
21.4% | -65.0% | 0.61 | 0.33 | 3.2x | 33 | 45% |
| Donchian 채널 돌파 entryN=149, exitN=37 |
15.0% | -41.9% | 0.53 | 0.36 | 2.3x | 5 | 15% |
| ADX / DI 방향성 period=43, threshold=11 |
15.2% | -52.2% | 0.52 | 0.29 | 2.3x | 31 | 30% |
| EMA 크로스오버 fast=26, slow=154 |
13.1% | -57.2% | 0.48 | 0.23 | 2.1x | 9 | 31% |
| ROC 모멘텀 n=115, threshold=0.14 |
12.6% | -62.6% | 0.47 | 0.20 | 2.0x | 27 | 23% |
| Keltner 채널 돌파 emaPeriod=52, atrPeriod=15, mult=3.1 |
11.4% | -49.3% | 0.45 | 0.23 | 1.9x | 11 | 17% |
| 볼린저 밴드 돌파 n=55, k=3.5 |
9.1% | -43.1% | 0.40 | 0.21 | 1.7x | 9 | 15% |
| Supertrend period=12, mult=4 |
2.9% | -73.8% | 0.30 | 0.04 | 1.2x | 23 | 42% |
| Parabolic SAR step=0.03, maxStep=0.38 |
-11.2% | -89.8% | 0.04 | -0.12 | 0.5x | 175 | 48% |
| MACD fast=12, slow=55, signal=14 |
-20.8% | -89.4% | -0.18 | -0.23 | 0.2x | 83 | 57% |
| Buy and hold | -6.1% | -93.4% | 0.26 | -0.07 | 0.7x | 1 | 100% |
Rules of the top strategy
When the short average rises above the long average, it reads that as an uptrend starting.
- Buy — Buy when the 50-day average price crosses above the 64-day average
- Sell — Sell (to cash) when the 50-day average falls below the 64-day average