Trend-Following Backtester · Guide · backtest 한국어
equity · GB
AstraZeneca PLC backtest
10 trend-following strategies were compared on the full daily history of AstraZeneca PLC. 0 beat buy-and-hold CAGR; ROC 모멘텀 ranks first by Sharpe, matching the main backtester.
Results by strategy
0 of 10 beat buy and hold (CAGR 9.6%, drawdown -51.8%).
Sharpe leader (same as main): ROC 모멘텀 — CAGR 6.8%, MDD -63.1%, Sharpe 0.39, 95% exposure.
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 n=70, threshold=-0.15 |
6.8% | -63.1% | 0.39 | 0.11 | 8.9x | 101 | 95% |
| Donchian 채널 돌파 entryN=59, exitN=131 |
4.4% | -54.6% | 0.30 | 0.08 | 4.1x | 41 | 78% |
| EMA 크로스오버 fast=32, slow=214 |
3.7% | -41.0% | 0.28 | 0.09 | 3.4x | 54 | 68% |
| Keltner 채널 돌파 emaPeriod=4, atrPeriod=25, mult=2.9 |
0.5% | -3.7% | 0.28 | 0.13 | 1.2x | 8 | 1% |
| SMA 크로스오버 fast=59, slow=213 |
3.5% | -47.3% | 0.27 | 0.07 | 3.2x | 46 | 66% |
| MACD fast=19, slow=35, signal=22 |
1.3% | -51.0% | 0.16 | 0.03 | 1.5x | 356 | 50% |
| Supertrend period=8, mult=2.7 |
0.4% | -63.5% | 0.11 | 0.01 | 1.2x | 294 | 55% |
| 볼린저 밴드 돌파 n=30, k=3 |
0.5% | -30.7% | 0.10 | 0.02 | 1.2x | 68 | 12% |
| Parabolic SAR step=0.005, maxStep=0.32 |
-1.2% | -80.1% | 0.02 | -0.02 | 0.7x | 312 | 53% |
| ADX / DI 방향성 period=22, threshold=39 |
-0.1% | -20.5% | -0.00 | -0.00 | 1.0x | 12 | 2% |
| Buy and hold | 9.6% | -51.8% | 0.48 | 0.19 | 20.9x | 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 70-day return is greater than -15%
- Sell — Sell when the 70-day return drops to -15% or below