Trend-Following Backtester · Guide · backtest 한국어
equity · US
Alnylam Pharmaceuticals, Inc. backtest
10 trend-following strategies were compared on the full daily history of Alnylam Pharmaceuticals, Inc.. 0 beat buy-and-hold CAGR; Donchian 채널 돌파 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is EMA 크로스오버 (CAGR 14.4%, MDD -62.4%).
Results by strategy
0 of 10 beat buy and hold (CAGR 16.4%, drawdown -83.6%).
Sharpe leader (same as main): Donchian 채널 돌파 — CAGR 15.1%, MDD -73.4%, Sharpe 0.54, 62% exposure.
Return/drawdown alternative: EMA 크로스오버 — CAGR is 1.3%p lower than buy and hold, while drawdown improves by 10.2%p (CAGR 14.4%, MDD -62.4%, exposure 58%).
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=107, exitN=111 |
15.1% | -73.4% | 0.54 | 0.21 | 22.6x | 20 | 62% |
| EMA 크로스오버 fast=58, slow=229 |
14.4% | -62.4% | 0.52 | 0.23 | 19.7x | 22 | 58% |
| ROC 모멘텀 n=89, threshold=-0.01 |
13.3% | -69.1% | 0.50 | 0.19 | 16.1x | 204 | 54% |
| MACD fast=8, slow=23, signal=18 |
10.6% | -73.6% | 0.44 | 0.14 | 9.3x | 364 | 50% |
| SMA 크로스오버 fast=30, slow=137 |
9.6% | -66.9% | 0.42 | 0.14 | 7.6x | 40 | 51% |
| 볼린저 밴드 돌파 n=55, k=3.1 |
7.0% | -38.5% | 0.40 | 0.18 | 4.5x | 38 | 18% |
| Keltner 채널 돌파 emaPeriod=44, atrPeriod=25, mult=2.7 |
7.5% | -64.3% | 0.37 | 0.12 | 5.0x | 84 | 28% |
| Supertrend period=15, mult=5 |
3.6% | -85.4% | 0.29 | 0.04 | 2.2x | 68 | 53% |
| Parabolic SAR step=0.015, maxStep=0.08 |
3.5% | -77.9% | 0.27 | 0.05 | 2.2x | 352 | 51% |
| ADX / DI 방향성 period=26, threshold=40 |
1.1% | -19.3% | 0.24 | 0.06 | 1.3x | 4 | 1% |
| Buy and hold | 16.4% | -83.6% | 0.54 | 0.20 | 29.2x | 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 107 days
- Sell — Sell when price breaks below the lowest low of the last 111 days