Trend-Following Backtester · Guide · backtest 한국어
equity · US
Eton Pharmaceuticals, Inc. backtest
10 trend-following strategies were compared on the full daily history of Eton Pharmaceuticals, Inc.. 2 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 32.7%, MDD -40.9%).
Results by strategy
2 of 10 beat buy and hold (CAGR 33.7%, drawdown -79.9%).
Sharpe leader (same as main): 볼린저 밴드 돌파 — CAGR 32.7%, MDD -40.9%, Sharpe 0.98, 22% exposure.
CAGR reference leader: Supertrend — CAGR 42.4%, MDD -47.5%, exposure 55%.
Return/drawdown alternative: 볼린저 밴드 돌파 — CAGR is 1.0%p lower than buy and hold, while drawdown improves by 39.1%p (CAGR 32.7%, MDD -40.9%, exposure 22%).
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=51, k=3.3 |
32.7% | -40.9% | 0.98 | 0.80 | 9.1x | 11 | 22% |
| Supertrend period=20, mult=3.7 |
42.4% | -47.5% | 0.96 | 0.89 | 15.7x | 25 | 55% |
| Donchian 채널 돌파 entryN=11, exitN=62 |
35.9% | -78.4% | 0.82 | 0.46 | 11.0x | 25 | 76% |
| Keltner 채널 돌파 emaPeriod=58, atrPeriod=7, mult=2.4 |
26.8% | -44.1% | 0.78 | 0.61 | 6.4x | 25 | 32% |
| ROC 모멘텀 n=66, threshold=0.05 |
26.3% | -55.3% | 0.73 | 0.47 | 6.2x | 85 | 46% |
| SMA 크로스오버 fast=15, slow=46 |
27.0% | -69.9% | 0.73 | 0.39 | 6.5x | 39 | 53% |
| EMA 크로스오버 fast=19, slow=212 |
25.8% | -67.6% | 0.72 | 0.38 | 6.0x | 15 | 51% |
| MACD fast=14, slow=20, signal=18 |
23.6% | -83.2% | 0.68 | 0.28 | 5.2x | 99 | 54% |
| ADX / DI 방향성 period=15, threshold=23 |
19.5% | -39.9% | 0.66 | 0.49 | 4.0x | 73 | 31% |
| Parabolic SAR step=0.025, maxStep=0.24 |
2.3% | -86.1% | 0.28 | 0.03 | 1.2x | 197 | 51% |
| Buy and hold | 33.7% | -79.9% | 0.76 | 0.42 | 9.6x | 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 51-day average (3.3× volatility)
- Sell — Sell when the close falls back to the 51-day middle average