Trend-Following Backtester · Guide · backtest 한국어
equity · US
Benitec Biopharma Inc. backtest
10 trend-following strategies were compared on the full daily history of Benitec Biopharma Inc.. 10 beat buy-and-hold CAGR; SMA 크로스오버 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is EMA 크로스오버 (CAGR 3.7%, MDD -57.2%).
Results by strategy
10 of 10 beat buy and hold (CAGR -40.2%, drawdown -100.0%).
Sharpe leader (same as main): SMA 크로스오버 — CAGR -2.6%, MDD -83.4%, Sharpe 0.29, 39% exposure.
CAGR reference leader: EMA 크로스오버 — CAGR 3.7%, MDD -57.2%, exposure 23%.
Return/drawdown alternative: EMA 크로스오버 — CAGR is 37.6%p higher than buy and hold, while drawdown improves by 16.6%p (CAGR 3.7%, MDD -57.2%, exposure 23%).
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=49, slow=79 |
-2.6% | -83.4% | 0.29 | -0.03 | 0.7x | 40 | 39% |
| EMA 크로스오버 fast=53, slow=199 |
3.7% | -57.2% | 0.28 | 0.06 | 1.6x | 8 | 23% |
| ADX / DI 방향성 period=35, threshold=20 |
-6.8% | -92.5% | 0.23 | -0.07 | 0.4x | 34 | 35% |
| Donchian 채널 돌파 entryN=136, exitN=60 |
-4.7% | -85.4% | 0.15 | -0.06 | 0.6x | 8 | 22% |
| ROC 모멘텀 n=77, threshold=0.01 |
-16.1% | -96.4% | 0.11 | -0.17 | 0.1x | 139 | 37% |
| Parabolic SAR step=0.025, maxStep=0.1 |
-26.3% | -98.7% | -0.00 | -0.27 | 0.0x | 228 | 41% |
| MACD fast=11, slow=29, signal=15 |
-37.0% | -99.8% | -0.09 | -0.37 | 0.0x | 190 | 52% |
| Supertrend period=22, mult=2.5 |
-20.4% | -95.4% | -0.16 | -0.21 | 0.1x | 84 | 31% |
| 볼린저 밴드 돌파 n=23, k=1.2 |
-33.9% | -99.4% | -0.34 | -0.34 | 0.0x | 142 | 28% |
| Keltner 채널 돌파 emaPeriod=49, atrPeriod=21, mult=3.9 |
-21.5% | -95.7% | -0.50 | -0.23 | 0.1x | 20 | 9% |
| Buy and hold | -40.2% | -100.0% | 0.08 | -0.40 | 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 49-day average price crosses above the 79-day average
- Sell — Sell (to cash) when the 49-day average falls below the 79-day average