Trend-Following Backtester · Guide · backtest 한국어
equity · US
Exelixis, Inc. backtest
10 trend-following strategies were compared on the full daily history of Exelixis, Inc.. 2 beat buy-and-hold CAGR; SMA 크로스오버 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is ADX / DI 방향성 (CAGR 5.6%, MDD -47.6%).
Results by strategy
2 of 10 beat buy and hold (CAGR 5.0%, drawdown -97.4%).
Sharpe leader (same as main): SMA 크로스오버 — CAGR 6.8%, MDD -73.1%, Sharpe 0.36, 53% exposure.
Return/drawdown alternative: ADX / DI 방향성 — CAGR is 1.9%p higher than buy and hold, while drawdown improves by 24.3%p (CAGR 5.6%, MDD -47.6%, exposure 9%).
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=58, slow=124 |
6.8% | -73.1% | 0.36 | 0.09 | 5.7x | 57 | 53% |
| ADX / DI 방향성 period=29, threshold=26 |
5.6% | -47.6% | 0.36 | 0.12 | 4.2x | 34 | 9% |
| Keltner 채널 돌파 emaPeriod=16, atrPeriod=17, mult=3.2 |
3.0% | -40.1% | 0.28 | 0.07 | 2.1x | 36 | 6% |
| 볼린저 밴드 돌파 n=19, k=3.4 |
2.2% | -50.1% | 0.23 | 0.04 | 1.8x | 18 | 3% |
| EMA 크로스오버 fast=53, slow=204 |
1.7% | -79.4% | 0.23 | 0.02 | 1.6x | 33 | 49% |
| Donchian 채널 돌파 entryN=98, exitN=71 |
0.6% | -86.5% | 0.19 | 0.01 | 1.2x | 39 | 44% |
| Supertrend period=17, mult=4.5 |
-1.7% | -94.5% | 0.18 | -0.02 | 0.6x | 97 | 55% |
| MACD fast=10, slow=26, signal=18 |
-2.5% | -96.1% | 0.16 | -0.03 | 0.5x | 402 | 51% |
| ROC 모멘텀 n=149, threshold=0.03 |
-1.0% | -82.0% | 0.15 | -0.01 | 0.8x | 223 | 50% |
| Parabolic SAR step=0.02, maxStep=0.12 |
-3.3% | -95.6% | 0.15 | -0.03 | 0.4x | 512 | 51% |
| Buy and hold | 5.0% | -97.4% | 0.40 | 0.05 | 3.6x | 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 58-day average price crosses above the 124-day average
- Sell — Sell (to cash) when the 58-day average falls below the 124-day average