Trend-Following Backtester · Guide · backtest 한국어
equity · US
Arrowhead Pharmaceuticals, Inc. backtest
10 trend-following strategies were compared on the full daily history of Arrowhead Pharmaceuticals, Inc.. 4 beat buy-and-hold CAGR; SMA 크로스오버 ranks first by Sharpe, matching the main backtester.
Results by strategy
4 of 10 beat buy and hold (CAGR -10.3%, drawdown -100.0%).
Sharpe leader (same as main): SMA 크로스오버 — CAGR 5.0%, MDD -99.0%, Sharpe 0.51, 43% 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 |
|---|---|---|---|---|---|---|---|
| SMA 크로스오버 fast=45, slow=103 |
5.0% | -99.0% | 0.51 | 0.05 | 4.9x | 85 | 43% |
| Donchian 채널 돌파 entryN=117, exitN=69 |
-1.8% | -99.8% | 0.41 | -0.02 | 0.6x | 41 | 28% |
| EMA 크로스오버 fast=38, slow=150 |
-3.3% | -99.5% | 0.40 | -0.03 | 0.3x | 51 | 35% |
| ADX / DI 방향성 period=44, threshold=18 |
-2.2% | -100.0% | 0.40 | -0.02 | 0.5x | 66 | 25% |
| ROC 모멘텀 n=130, threshold=0.14 |
-12.7% | -100.0% | 0.36 | -0.13 | 0.0x | 215 | 33% |
| 볼린저 밴드 돌파 n=66, k=2.8 |
-15.4% | -100.0% | 0.22 | -0.15 | 0.0x | 80 | 21% |
| Parabolic SAR step=0.005, maxStep=0.14 |
-25.8% | -100.0% | 0.20 | -0.26 | 0.0x | 207 | 43% |
| MACD fast=8, slow=22, signal=9 |
-43.0% | -100.0% | 0.19 | -0.43 | 0.0x | 713 | 53% |
| Keltner 채널 돌파 emaPeriod=54, atrPeriod=9, mult=4 |
-29.7% | -100.0% | -0.07 | -0.30 | 0.0x | 104 | 19% |
| Supertrend period=20, mult=5 |
-51.5% | -100.0% | -0.10 | -0.51 | 0.0x | 179 | 43% |
| Buy and hold | -10.3% | -100.0% | 0.72 | -0.10 | 0.0x | 1 | 100% |
Rules of the top strategy
When the short average rises above the long average, it reads that as an uptrend starting.
- Buy — Buy when the 45-day average price crosses above the 103-day average
- Sell — Sell (to cash) when the 45-day average falls below the 103-day average