Trend-Following Backtester · Guide · backtest 한국어
equity · CH
Idorsia Ltd. backtest
10 trend-following strategies were compared on the full daily history of Idorsia Ltd.. 10 beat buy-and-hold CAGR; ROC 모멘텀 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is ADX / DI 방향성 (CAGR 8.6%, MDD -30.4%).
Results by strategy
10 of 10 beat buy and hold (CAGR -8.3%, drawdown -98.1%).
Sharpe leader (same as main): ROC 모멘텀 — CAGR 19.5%, MDD -52.0%, Sharpe 0.69, 29% exposure.
CAGR reference leader: Supertrend — CAGR 20.7%, MDD -70.3%, exposure 44%.
Return/drawdown alternative: ADX / DI 방향성 — CAGR is 27.8%p higher than buy and hold, while drawdown improves by 46.1%p (CAGR 8.6%, MDD -30.4%, exposure 8%).
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=108, threshold=0.12 |
19.5% | -52.0% | 0.69 | 0.37 | 5.1x | 65 | 29% |
| Supertrend period=20, mult=0.9 |
20.7% | -70.3% | 0.63 | 0.29 | 5.6x | 248 | 44% |
| SMA 크로스오버 fast=61, slow=116 |
17.7% | -44.9% | 0.62 | 0.39 | 4.4x | 19 | 45% |
| Donchian 채널 돌파 entryN=91, exitN=75 |
12.7% | -61.6% | 0.52 | 0.21 | 3.0x | 9 | 34% |
| ADX / DI 방향성 period=30, threshold=28 |
8.6% | -30.4% | 0.51 | 0.28 | 2.1x | 11 | 8% |
| EMA 크로스오버 fast=49, slow=232 |
12.0% | -38.8% | 0.51 | 0.31 | 2.8x | 7 | 32% |
| MACD fast=12, slow=84, signal=12 |
12.9% | -76.2% | 0.50 | 0.17 | 3.0x | 106 | 50% |
| Parabolic SAR step=0.025, maxStep=0.18 |
13.1% | -72.4% | 0.49 | 0.18 | 3.1x | 194 | 46% |
| 볼린저 밴드 돌파 n=22, k=1.1 |
7.0% | -77.8% | 0.39 | 0.09 | 1.9x | 98 | 34% |
| Keltner 채널 돌파 emaPeriod=34, atrPeriod=12, mult=3.5 |
2.1% | -64.1% | 0.21 | 0.03 | 1.2x | 25 | 16% |
| Buy and hold | -8.3% | -98.1% | 0.20 | -0.09 | 0.5x | 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 108-day return is greater than 12%
- Sell — Sell when the 108-day return drops to 12% or below