Trend-Following Backtester · Guide · backtest 한국어
equity · US
Enanta Pharmaceuticals, Inc. backtest
10 trend-following strategies were compared on the full daily history of Enanta Pharmaceuticals, Inc.. 9 beat buy-and-hold CAGR; Donchian 채널 돌파 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is Donchian 채널 돌파 (CAGR 12.9%, MDD -50.5%).
Results by strategy
9 of 10 beat buy and hold (CAGR -2.3%, drawdown -96.6%).
Sharpe leader (same as main): Donchian 채널 돌파 — CAGR 12.9%, MDD -50.5%, Sharpe 0.48, 33% exposure.
Return/drawdown alternative: Donchian 채널 돌파 — CAGR is 15.2%p higher than buy and hold, while drawdown improves by 46.1%p (CAGR 12.9%, MDD -50.5%, exposure 33%).
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 |
|---|---|---|---|---|---|---|---|
| Donchian 채널 돌파 entryN=88, exitN=39 |
12.9% | -50.5% | 0.48 | 0.26 | 5.1x | 20 | 33% |
| SMA 크로스오버 fast=45, slow=166 |
11.0% | -70.7% | 0.43 | 0.16 | 4.1x | 18 | 47% |
| EMA 크로스오버 fast=5, slow=120 |
10.3% | -73.8% | 0.42 | 0.14 | 3.7x | 50 | 46% |
| ROC 모멘텀 n=106, threshold=0.01 |
9.7% | -64.2% | 0.40 | 0.15 | 3.4x | 116 | 47% |
| 볼린저 밴드 돌파 n=59, k=1.8 |
6.7% | -60.1% | 0.36 | 0.11 | 2.4x | 48 | 33% |
| ADX / DI 방향성 period=34, threshold=8 |
5.7% | -77.5% | 0.33 | 0.07 | 2.1x | 125 | 45% |
| Keltner 채널 돌파 emaPeriod=50, atrPeriod=17, mult=3.3 |
5.2% | -59.8% | 0.33 | 0.09 | 2.0x | 34 | 24% |
| Supertrend period=11, mult=4 |
5.7% | -67.0% | 0.32 | 0.09 | 2.1x | 47 | 43% |
| Parabolic SAR step=0.03, maxStep=0.3 |
-1.3% | -93.0% | 0.18 | -0.01 | 0.8x | 368 | 49% |
| MACD fast=19, slow=59, signal=19 |
-6.9% | -78.6% | 0.04 | -0.09 | 0.4x | 118 | 53% |
| Buy and hold | -2.3% | -96.6% | 0.25 | -0.02 | 0.7x | 1 | 100% |
Rules of the top strategy
A new high means a trend starting; a new low means it’s over (turtle-trading style).
- Buy — Buy on a breakout above the highest high of the last 88 days
- Sell — Sell when price breaks below the lowest low of the last 39 days