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; SMA 크로스오버 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is EMA 크로스오버 (CAGR 8.7%, MDD -38.8%).
Results by strategy
10 of 10 beat buy and hold (CAGR -10.9%, drawdown -98.1%).
Sharpe leader (same as main): SMA 크로스오버 — CAGR 20.5%, MDD -52.1%, Sharpe 0.66, 44% exposure.
Return/drawdown alternative: EMA 크로스오버 — CAGR is 31.4%p higher than buy and hold, while drawdown improves by 46.0%p (CAGR 8.7%, MDD -38.8%, exposure 34%).
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=57, slow=75 |
20.5% | -52.1% | 0.66 | 0.39 | 5.7x | 44 | 44% |
| 볼린저 밴드 돌파 n=9, k=1.5 |
17.7% | -46.5% | 0.58 | 0.38 | 4.6x | 196 | 32% |
| MACD fast=14, slow=76, signal=11 |
12.8% | -76.0% | 0.50 | 0.17 | 3.1x | 106 | 49% |
| ADX / DI 방향성 period=36, threshold=17 |
11.6% | -46.3% | 0.50 | 0.25 | 2.8x | 28 | 24% |
| ROC 모멘텀 n=110, threshold=0.06 |
12.1% | -56.6% | 0.49 | 0.21 | 2.9x | 97 | 35% |
| Parabolic SAR step=0.025, maxStep=0.18 |
11.0% | -72.4% | 0.45 | 0.15 | 2.6x | 196 | 45% |
| Donchian 채널 돌파 entryN=85, exitN=76 |
9.4% | -62.5% | 0.43 | 0.15 | 2.3x | 9 | 37% |
| EMA 크로스오버 fast=49, slow=230 |
8.7% | -38.8% | 0.42 | 0.22 | 2.2x | 7 | 34% |
| Keltner 채널 돌파 emaPeriod=54, atrPeriod=12, mult=4 |
4.2% | -63.4% | 0.29 | 0.07 | 1.5x | 18 | 18% |
| Supertrend period=8, mult=3.8 |
0.8% | -88.3% | 0.28 | 0.01 | 1.1x | 40 | 48% |
| Buy and hold | -10.9% | -98.1% | 0.16 | -0.11 | 0.3x | 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 57-day average price crosses above the 75-day average
- Sell — Sell (to cash) when the 57-day average falls below the 75-day average