Trend-Following Backtester · Guide · backtest 한국어
equity · IN
Strides Pharma Science Ltd backtest
10 trend-following strategies were compared on the full daily history of Strides Pharma Science Ltd. 6 beat buy-and-hold CAGR; Donchian 채널 돌파 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is ADX / DI 방향성 (CAGR 13.1%, MDD -60.1%).
Results by strategy
6 of 10 beat buy and hold (CAGR 12.3%, drawdown -84.1%).
Sharpe leader (same as main): Donchian 채널 돌파 — CAGR 16.8%, MDD -71.2%, Sharpe 0.63, 56% exposure.
Return/drawdown alternative: ADX / DI 방향성 — CAGR is 4.5%p higher than buy and hold, while drawdown improves by 12.8%p (CAGR 13.1%, MDD -60.1%, exposure 32%).
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=51, exitN=53 |
16.8% | -71.2% | 0.63 | 0.24 | 43.2x | 35 | 56% |
| ROC 모멘텀 n=141, threshold=0.11 |
15.9% | -64.6% | 0.62 | 0.25 | 35.7x | 145 | 45% |
| EMA 크로스오버 fast=6, slow=68 |
16.5% | -66.5% | 0.62 | 0.25 | 40.9x | 117 | 56% |
| SMA 크로스오버 fast=11, slow=72 |
16.4% | -69.7% | 0.62 | 0.24 | 40.1x | 89 | 57% |
| Supertrend period=22, mult=3.9 |
15.6% | -64.2% | 0.61 | 0.24 | 33.7x | 79 | 58% |
| ADX / DI 방향성 period=36, threshold=16 |
13.1% | -60.1% | 0.60 | 0.22 | 20.0x | 100 | 32% |
| 볼린저 밴드 돌파 n=44, k=2.7 |
11.0% | -56.5% | 0.55 | 0.19 | 12.6x | 71 | 27% |
| Keltner 채널 돌파 emaPeriod=41, atrPeriod=14, mult=1.7 |
9.4% | -76.9% | 0.46 | 0.12 | 8.8x | 135 | 37% |
| MACD fast=22, slow=35, signal=17 |
7.1% | -80.8% | 0.37 | 0.09 | 5.2x | 259 | 48% |
| Parabolic SAR step=0.015, maxStep=0.12 |
6.8% | -72.9% | 0.36 | 0.09 | 4.9x | 386 | 56% |
| Buy and hold | 12.3% | -84.1% | 0.50 | 0.15 | 16.6x | 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 51 days
- Sell — Sell when price breaks below the lowest low of the last 53 days