Trend-Following Backtester · Guide · backtest 한국어
equity · US
Aclaris Therapeutics, Inc. backtest
10 trend-following strategies were compared on the full daily history of Aclaris Therapeutics, Inc.. 10 beat buy-and-hold CAGR; EMA 크로스오버 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is 볼린저 밴드 돌파 (CAGR 20.5%, MDD -48.1%).
Results by strategy
10 of 10 beat buy and hold (CAGR -6.7%, drawdown -98.0%).
Sharpe leader (same as main): EMA 크로스오버 — CAGR 32.1%, MDD -66.7%, Sharpe 0.59, 39% exposure.
Return/drawdown alternative: 볼린저 밴드 돌파 — CAGR is 38.8%p higher than buy and hold, while drawdown improves by 31.4%p (CAGR 20.5%, MDD -48.1%, exposure 11%).
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 |
|---|---|---|---|---|---|---|---|
| EMA 크로스오버 fast=39, slow=110 |
32.1% | -66.7% | 0.59 | 0.48 | 20.3x | 15 | 39% |
| Supertrend period=14, mult=4.8 |
29.8% | -81.3% | 0.58 | 0.37 | 16.8x | 25 | 50% |
| Donchian 채널 돌파 entryN=79, exitN=75 |
31.0% | -63.7% | 0.58 | 0.49 | 18.6x | 11 | 39% |
| SMA 크로스오버 fast=41, slow=75 |
29.1% | -72.5% | 0.57 | 0.40 | 15.9x | 39 | 49% |
| ADX / DI 방향성 period=36, threshold=18 |
30.6% | -52.7% | 0.56 | 0.58 | 18.0x | 17 | 18% |
| ROC 모멘텀 n=116, threshold=0.03 |
25.6% | -73.8% | 0.53 | 0.35 | 11.8x | 67 | 39% |
| MACD fast=26, slow=48, signal=21 |
8.1% | -93.8% | 0.47 | 0.09 | 2.3x | 78 | 53% |
| 볼린저 밴드 돌파 n=37, k=3 |
20.5% | -48.1% | 0.45 | 0.43 | 7.5x | 20 | 11% |
| Keltner 채널 돌파 emaPeriod=36, atrPeriod=19, mult=3.8 |
15.9% | -53.3% | 0.39 | 0.30 | 4.9x | 10 | 7% |
| Parabolic SAR step=0.025, maxStep=0.3 |
0.4% | -82.2% | 0.29 | 0.00 | 1.0x | 256 | 47% |
| Buy and hold | -6.7% | -98.0% | 0.42 | -0.07 | 0.5x | 1 | 100% |
Rules of the top strategy
Uses two exponential averages (more weight on recent prices) and trades their crossover.
- Buy — Buy when the 39-day EMA crosses above the 110-day EMA
- Sell — Sell when the 39-day EMA falls below the 110-day EMA