Trend-Following Backtester · Guide · backtest 한국어
equity · IN
PFIZER LIMITED backtest
10 trend-following strategies were compared on the full daily history of PFIZER LIMITED. 2 beat buy-and-hold CAGR; Donchian 채널 돌파 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is Supertrend (CAGR 10.3%, MDD -38.2%).
Results by strategy
2 of 10 beat buy and hold (CAGR 9.2%, drawdown -62.8%).
Sharpe leader (same as main): Donchian 채널 돌파 — CAGR 13.4%, MDD -38.5%, Sharpe 0.69, 61% exposure.
Return/drawdown alternative: Supertrend — CAGR is 4.1%p higher than buy and hold, while drawdown improves by 24.3%p (CAGR 10.3%, MDD -38.2%, exposure 56%).
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=26, exitN=37 |
13.4% | -38.5% | 0.69 | 0.35 | 20.9x | 48 | 61% |
| Supertrend period=10, mult=3.7 |
10.3% | -38.2% | 0.58 | 0.27 | 10.7x | 74 | 56% |
| EMA 크로스오버 fast=17, slow=45 |
9.1% | -46.7% | 0.52 | 0.20 | 8.3x | 110 | 55% |
| SMA 크로스오버 fast=7, slow=113 |
8.5% | -47.3% | 0.49 | 0.18 | 7.2x | 88 | 57% |
| 볼린저 밴드 돌파 n=25, k=1.9 |
7.2% | -49.2% | 0.48 | 0.15 | 5.4x | 188 | 35% |
| Keltner 채널 돌파 emaPeriod=53, atrPeriod=20, mult=1.1 |
7.5% | -33.1% | 0.47 | 0.23 | 5.7x | 150 | 42% |
| ROC 모멘텀 n=123, threshold=0 |
7.0% | -45.1% | 0.42 | 0.15 | 5.1x | 154 | 59% |
| Parabolic SAR step=0.005, maxStep=0.26 |
6.0% | -44.5% | 0.39 | 0.13 | 4.1x | 186 | 53% |
| MACD fast=14, slow=24, signal=13 |
4.7% | -49.5% | 0.33 | 0.09 | 3.0x | 358 | 49% |
| ADX / DI 방향성 period=21, threshold=10 |
2.9% | -62.6% | 0.24 | 0.05 | 2.0x | 332 | 61% |
| Buy and hold | 9.2% | -62.8% | 0.46 | 0.15 | 8.5x | 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 26 days
- Sell — Sell when price breaks below the lowest low of the last 37 days