Trend-Following Backtester · Guide · backtest 한국어
equity · IN
Alivus Life Sciences Ltd backtest
10 trend-following strategies were compared on the full daily history of Alivus Life Sciences Ltd. 5 beat buy-and-hold CAGR; SMA 크로스오버 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is SMA 크로스오버 (CAGR 25.7%, MDD -28.4%).
Results by strategy
5 of 10 beat buy and hold (CAGR 12.5%, drawdown -51.0%).
Sharpe leader (same as main): SMA 크로스오버 — CAGR 25.7%, MDD -28.4%, Sharpe 1.10, 45% exposure.
Return/drawdown alternative: SMA 크로스오버 — CAGR is 13.2%p higher than buy and hold, while drawdown improves by 22.6%p (CAGR 25.7%, MDD -28.4%, exposure 45%).
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=71, slow=127 |
25.7% | -28.4% | 1.10 | 0.90 | 3.2x | 7 | 45% |
| Donchian 채널 돌파 entryN=85, exitN=49 |
23.0% | -30.0% | 1.06 | 0.77 | 2.9x | 3 | 39% |
| ROC 모멘텀 n=127, threshold=0.05 |
24.7% | -28.7% | 1.03 | 0.86 | 3.1x | 15 | 47% |
| Keltner 채널 돌파 emaPeriod=16, atrPeriod=22, mult=2.4 |
10.6% | -20.3% | 0.94 | 0.52 | 1.7x | 10 | 11% |
| EMA 크로스오버 fast=15, slow=81 |
21.7% | -39.7% | 0.92 | 0.55 | 2.8x | 11 | 49% |
| 볼린저 밴드 돌파 n=58, k=3.2 |
10.9% | -22.2% | 0.72 | 0.49 | 1.7x | 7 | 20% |
| ADX / DI 방향성 period=21, threshold=30 |
8.6% | -19.9% | 0.69 | 0.43 | 1.5x | 13 | 14% |
| Supertrend period=21, mult=3.2 |
14.8% | -41.0% | 0.68 | 0.36 | 2.0x | 21 | 60% |
| MACD fast=7, slow=14, signal=16 |
10.2% | -22.8% | 0.53 | 0.45 | 1.6x | 100 | 51% |
| Parabolic SAR step=0.015, maxStep=0.2 |
1.5% | -50.5% | 0.18 | 0.03 | 1.1x | 84 | 48% |
| Buy and hold | 12.5% | -51.0% | 0.53 | 0.24 | 1.8x | 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 71-day average price crosses above the 127-day average
- Sell — Sell (to cash) when the 71-day average falls below the 127-day average