Trend-Following Backtester · Guide · backtest 한국어
equity · NL
Pharming Group NV backtest
10 trend-following strategies were compared on the full daily history of Pharming Group NV. 10 beat buy-and-hold CAGR; 볼린저 밴드 돌파 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is ADX / DI 방향성 (CAGR 3.2%, MDD -46.8%).
Results by strategy
10 of 10 beat buy and hold (CAGR -15.8%, drawdown -100.0%).
Sharpe leader (same as main): 볼린저 밴드 돌파 — CAGR 9.0%, MDD -82.5%, Sharpe 0.40, 25% exposure.
Return/drawdown alternative: ADX / DI 방향성 — CAGR is 24.8%p higher than buy and hold, while drawdown improves by 17.5%p (CAGR 3.2%, MDD -46.8%, exposure 4%).
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 |
|---|---|---|---|---|---|---|---|
| 볼린저 밴드 돌파 n=21, k=1.9 |
9.0% | -82.5% | 0.40 | 0.11 | 10.4x | 206 | 25% |
| SMA 크로스오버 fast=18, slow=71 |
8.2% | -80.9% | 0.38 | 0.10 | 8.6x | 106 | 40% |
| EMA 크로스오버 fast=23, slow=129 |
7.1% | -84.9% | 0.37 | 0.08 | 6.5x | 56 | 36% |
| Donchian 채널 돌파 entryN=109, exitN=31 |
6.8% | -70.5% | 0.35 | 0.10 | 5.9x | 42 | 21% |
| ROC 모멘텀 n=76, threshold=0.01 |
6.3% | -81.6% | 0.34 | 0.08 | 5.2x | 316 | 42% |
| Keltner 채널 돌파 emaPeriod=27, atrPeriod=15, mult=3.8 |
6.8% | -60.8% | 0.34 | 0.11 | 6.0x | 64 | 11% |
| MACD fast=17, slow=22, signal=23 |
1.5% | -97.4% | 0.31 | 0.02 | 1.5x | 340 | 50% |
| Parabolic SAR step=0.03, maxStep=0.14 |
2.7% | -96.1% | 0.31 | 0.03 | 2.1x | 592 | 46% |
| ADX / DI 방향성 period=19, threshold=39 |
3.2% | -46.8% | 0.24 | 0.07 | 2.3x | 34 | 4% |
| Supertrend period=20, mult=4.9 |
0.3% | -97.6% | 0.24 | 0.00 | 1.1x | 88 | 44% |
| Buy and hold | -15.8% | -100.0% | 0.19 | -0.16 | 0.0x | 1 | 100% |
Rules of the top strategy
Breaking above the upper band (average plus a multiple of volatility) signals a strong move up.
- Buy — Buy when the close breaks above the upper band of the 21-day average (1.9× volatility)
- Sell — Sell when the close falls back to the 21-day middle average