Trend-Following Backtester · Guide · backtest 한국어
equity · US
Alkermes plc backtest
10 trend-following strategies were compared on the full daily history of Alkermes plc. 0 beat buy-and-hold CAGR; Donchian 채널 돌파 ranks first by Sharpe, matching the main backtester.
Results by strategy
0 of 10 beat buy and hold (CAGR 6.4%, drawdown -96.1%).
Sharpe leader (same as main): Donchian 채널 돌파 — CAGR 6.4%, MDD -90.5%, Sharpe 0.39, 90% exposure.
No strategy retained at least 75% of buy-and-hold CAGR while reducing drawdown by both 20% relatively and 5 percentage points absolutely.
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=16, exitN=170 |
6.4% | -90.5% | 0.39 | 0.07 | 8.7x | 49 | 90% |
| SMA 크로스오버 fast=52, slow=361 |
5.5% | -87.4% | 0.34 | 0.06 | 6.6x | 37 | 54% |
| Supertrend period=9, mult=2.5 |
5.1% | -90.1% | 0.32 | 0.06 | 5.7x | 282 | 53% |
| Parabolic SAR step=0.01, maxStep=0.36 |
3.9% | -94.4% | 0.29 | 0.04 | 3.9x | 460 | 51% |
| EMA 크로스오버 fast=57, slow=207 |
3.2% | -90.9% | 0.28 | 0.03 | 3.0x | 45 | 52% |
| 볼린저 밴드 돌파 n=20, k=2.6 |
3.3% | -82.1% | 0.25 | 0.04 | 3.1x | 194 | 19% |
| ADX / DI 방향성 period=17, threshold=34 |
3.1% | -50.3% | 0.25 | 0.06 | 2.9x | 78 | 8% |
| MACD fast=12, slow=63, signal=18 |
-0.3% | -98.5% | 0.20 | -0.00 | 0.9x | 452 | 53% |
| Keltner 채널 돌파 emaPeriod=25, atrPeriod=18, mult=4 |
1.8% | -57.0% | 0.18 | 0.03 | 1.8x | 42 | 6% |
| ROC 모멘텀 n=106, threshold=-0.03 |
-2.4% | -96.3% | 0.16 | -0.02 | 0.4x | 343 | 58% |
| Buy and hold | 6.4% | -96.1% | 0.42 | 0.07 | 8.9x | 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 16 days
- Sell — Sell when price breaks below the lowest low of the last 170 days