Trend-Following Backtester · Guide · backtest 한국어
equity · CH
Cosmo Pharmaceuticals NV backtest
10 trend-following strategies were compared on the full daily history of Cosmo Pharmaceuticals NV. 8 beat buy-and-hold CAGR; Donchian 채널 돌파 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is Keltner 채널 돌파 (CAGR 9.5%, MDD -33.8%).
Results by strategy
8 of 10 beat buy and hold (CAGR 5.2%, drawdown -82.2%).
Sharpe leader (same as main): Donchian 채널 돌파 — CAGR 12.4%, MDD -45.4%, Sharpe 0.73, 30% exposure.
Return/drawdown alternative: Keltner 채널 돌파 — CAGR is 7.2%p higher than buy and hold, while drawdown improves by 36.8%p (CAGR 9.5%, MDD -33.8%, exposure 14%).
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=122, exitN=31 |
12.4% | -45.4% | 0.73 | 0.27 | 9.7x | 30 | 30% |
| Keltner 채널 돌파 emaPeriod=23, atrPeriod=26, mult=3.6 |
9.5% | -33.8% | 0.72 | 0.28 | 5.8x | 38 | 14% |
| 볼린저 밴드 돌파 n=53, k=2.9 |
9.9% | -53.5% | 0.65 | 0.19 | 6.3x | 34 | 20% |
| SMA 크로스오버 fast=52, slow=188 |
10.1% | -56.8% | 0.55 | 0.18 | 6.5x | 26 | 46% |
| ROC 모멘텀 n=146, threshold=0.14 |
8.8% | -61.4% | 0.52 | 0.14 | 5.2x | 86 | 31% |
| EMA 크로스오버 fast=42, slow=186 |
9.3% | -62.8% | 0.51 | 0.15 | 5.6x | 28 | 47% |
| ADX / DI 방향성 period=13, threshold=35 |
4.8% | -29.6% | 0.48 | 0.16 | 2.5x | 64 | 10% |
| Parabolic SAR step=0.005, maxStep=0.36 |
7.8% | -79.1% | 0.43 | 0.10 | 4.3x | 136 | 51% |
| Supertrend period=8, mult=5 |
7.6% | -77.4% | 0.42 | 0.10 | 4.2x | 62 | 50% |
| MACD fast=28, slow=44, signal=23 |
2.3% | -78.4% | 0.22 | 0.03 | 1.5x | 157 | 49% |
| Buy and hold | 5.2% | -82.2% | 0.32 | 0.06 | 2.7x | 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 122 days
- Sell — Sell when price breaks below the lowest low of the last 31 days