Trend-Following Backtester · Guide · backtest 한국어
equity · US
Arcturus Therapeutics Holdings Inc. backtest
10 trend-following strategies were compared on the full daily history of Arcturus Therapeutics Holdings Inc.. 10 beat buy-and-hold CAGR; Supertrend ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is Supertrend (CAGR 3.4%, MDD -71.9%).
Results by strategy
10 of 10 beat buy and hold (CAGR -15.5%, drawdown -97.7%).
Sharpe leader (same as main): Supertrend — CAGR 3.4%, MDD -71.9%, Sharpe 0.37, 47% exposure.
Return/drawdown alternative: Supertrend — CAGR is 18.9%p higher than buy and hold, while drawdown improves by 25.8%p (CAGR 3.4%, MDD -71.9%, exposure 47%).
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 |
|---|---|---|---|---|---|---|---|
| Supertrend period=11, mult=1.9 |
3.4% | -71.9% | 0.37 | 0.05 | 1.5x | 154 | 47% |
| Parabolic SAR step=0.01, maxStep=0.1 |
-0.9% | -91.4% | 0.31 | -0.01 | 0.9x | 160 | 47% |
| EMA 크로스오버 fast=28, slow=218 |
-1.9% | -91.5% | 0.28 | -0.02 | 0.8x | 16 | 31% |
| Donchian 채널 돌파 entryN=17, exitN=130 |
-13.9% | -96.6% | 0.24 | -0.14 | 0.1x | 34 | 73% |
| ADX / DI 방향성 period=7, threshold=15 |
-6.8% | -90.4% | 0.22 | -0.08 | 0.4x | 406 | 50% |
| MACD fast=14, slow=34, signal=11 |
-9.6% | -93.0% | 0.18 | -0.10 | 0.3x | 196 | 54% |
| SMA 크로스오버 fast=59, slow=89 |
-9.7% | -89.9% | 0.18 | -0.11 | 0.3x | 40 | 45% |
| Keltner 채널 돌파 emaPeriod=31, atrPeriod=12, mult=1.1 |
-7.5% | -89.4% | 0.18 | -0.08 | 0.4x | 124 | 31% |
| 볼린저 밴드 돌파 n=10, k=0.5 |
-9.4% | -95.7% | 0.16 | -0.10 | 0.3x | 476 | 42% |
| ROC 모멘텀 n=83, threshold=0.01 |
-11.2% | -93.2% | 0.15 | -0.12 | 0.2x | 144 | 44% |
| Buy and hold | -15.5% | -97.7% | 0.30 | -0.16 | 0.1x | 1 | 100% |
Rules of the top strategy
Trades the direction of a volatility-based trend line that trails below/above price.
- Buy — Buy when price moves above the trend line (flips up) — 11-day volatility, 1.9× band
- Sell — Sell when price drops below the trend line (flips down)