Trend-Following Backtester · Guide · backtest 한국어
equity · US
Ardelyx, Inc. backtest
10 trend-following strategies were compared on the full daily history of Ardelyx, Inc.. 9 beat buy-and-hold CAGR; 볼린저 밴드 돌파 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is 볼린저 밴드 돌파 (CAGR 13.2%, MDD -54.4%).
Results by strategy
9 of 10 beat buy and hold (CAGR -8.3%, drawdown -98.4%).
Sharpe leader (same as main): 볼린저 밴드 돌파 — CAGR 13.2%, MDD -54.4%, Sharpe 0.48, 31% exposure.
Return/drawdown alternative: 볼린저 밴드 돌파 — CAGR is 21.5%p higher than buy and hold, while drawdown improves by 44.0%p (CAGR 13.2%, MDD -54.4%, exposure 31%).
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=73, k=1.7 |
13.2% | -54.4% | 0.48 | 0.24 | 4.5x | 36 | 31% |
| ADX / DI 방향성 period=29, threshold=15 |
11.3% | -62.5% | 0.44 | 0.18 | 3.7x | 76 | 32% |
| Supertrend period=21, mult=3.6 |
6.7% | -76.5% | 0.39 | 0.09 | 2.2x | 56 | 46% |
| SMA 크로스오버 fast=26, slow=50 |
2.6% | -92.6% | 0.38 | 0.03 | 1.4x | 60 | 49% |
| Keltner 채널 돌파 emaPeriod=41, atrPeriod=18, mult=3.7 |
7.8% | -54.7% | 0.37 | 0.14 | 2.5x | 26 | 17% |
| Parabolic SAR step=0.045, maxStep=0.32 |
3.5% | -81.8% | 0.33 | 0.04 | 1.5x | 382 | 49% |
| ROC 모멘텀 n=125, threshold=0.13 |
4.1% | -71.3% | 0.32 | 0.06 | 1.6x | 104 | 39% |
| Donchian 채널 돌파 entryN=87, exitN=62 |
-4.6% | -89.9% | 0.23 | -0.05 | 0.6x | 20 | 40% |
| EMA 크로스오버 fast=59, slow=86 |
-7.0% | -94.7% | 0.21 | -0.07 | 0.4x | 26 | 47% |
| MACD fast=19, slow=48, signal=12 |
-11.2% | -90.4% | 0.11 | -0.12 | 0.2x | 160 | 53% |
| Buy and hold | -8.3% | -98.4% | 0.34 | -0.08 | 0.3x | 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 73-day average (1.7× volatility)
- Sell — Sell when the close falls back to the 73-day middle average