Trend-Following Backtester · Guide · backtest 한국어
equity · US
Ascendis Pharma A/S backtest
10 trend-following strategies were compared on the full daily history of Ascendis Pharma A/S. 0 beat buy-and-hold CAGR; EMA 크로스오버 ranks first by Sharpe, matching the main backtester.
Results by strategy
0 of 10 beat buy and hold (CAGR 25.5%, drawdown -61.7%).
Sharpe leader (same as main): EMA 크로스오버 — CAGR 22.5%, MDD -51.0%, Sharpe 0.69, 68% 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 |
|---|---|---|---|---|---|---|---|
| EMA 크로스오버 fast=32, slow=383 |
22.5% | -51.0% | 0.69 | 0.44 | 10.5x | 7 | 68% |
| SMA 크로스오버 fast=26, slow=174 |
18.4% | -38.2% | 0.61 | 0.48 | 7.1x | 27 | 62% |
| Donchian 채널 돌파 entryN=19, exitN=75 |
16.1% | -56.3% | 0.55 | 0.29 | 5.6x | 23 | 78% |
| Supertrend period=12, mult=5 |
13.1% | -53.4% | 0.49 | 0.25 | 4.2x | 21 | 65% |
| ADX / DI 방향성 period=17, threshold=31 |
5.2% | -25.4% | 0.49 | 0.20 | 1.8x | 22 | 7% |
| ROC 모멘텀 n=54, threshold=-0.03 |
10.9% | -60.5% | 0.44 | 0.18 | 3.3x | 149 | 67% |
| Keltner 채널 돌파 emaPeriod=30, atrPeriod=22, mult=3.9 |
4.5% | -19.6% | 0.42 | 0.23 | 1.7x | 12 | 9% |
| 볼린저 밴드 돌파 n=27, k=3.5 |
3.3% | -13.7% | 0.38 | 0.24 | 1.5x | 10 | 5% |
| MACD fast=27, slow=58, signal=16 |
-0.1% | -69.8% | 0.16 | -0.00 | 1.0x | 118 | 46% |
| Parabolic SAR step=0.025, maxStep=0.2 |
-1.8% | -75.4% | 0.11 | -0.02 | 0.8x | 297 | 52% |
| Buy and hold | 25.5% | -61.7% | 0.69 | 0.41 | 13.9x | 1 | 100% |
Rules of the top strategy
Uses two exponential averages (more weight on recent prices) and trades their crossover.
- Buy — Buy when the 32-day EMA crosses above the 383-day EMA
- Sell — Sell when the 32-day EMA falls below the 383-day EMA