Trend-Following Backtester · Guide · backtest 한국어
equity · US
Fennec Pharmaceuticals Inc. backtest
10 trend-following strategies were compared on the full daily history of Fennec Pharmaceuticals Inc.. 6 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 5.6%, MDD -17.3%).
Results by strategy
6 of 10 beat buy and hold (CAGR -2.6%, drawdown -77.0%).
Sharpe leader (same as main): 볼린저 밴드 돌파 — CAGR 5.6%, MDD -17.3%, Sharpe 0.60, 5% exposure.
CAGR reference leader: MACD — CAGR 8.9%, MDD -50.1%, exposure 52%.
Return/drawdown alternative: 볼린저 밴드 돌파 — CAGR is 8.2%p higher than buy and hold, while drawdown improves by 59.7%p (CAGR 5.6%, MDD -17.3%, exposure 5%).
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=20, k=3.2 |
5.6% | -17.3% | 0.60 | 0.32 | 1.6x | 10 | 5% |
| MACD fast=17, slow=45, signal=23 |
8.9% | -50.1% | 0.41 | 0.18 | 2.1x | 82 | 52% |
| Donchian 채널 돌파 entryN=26, exitN=13 |
5.4% | -46.1% | 0.33 | 0.12 | 1.6x | 40 | 38% |
| ADX / DI 방향성 period=30, threshold=14 |
4.0% | -63.6% | 0.32 | 0.06 | 1.4x | 55 | 38% |
| Supertrend period=35, mult=3.6 |
0.8% | -66.3% | 0.25 | 0.01 | 1.1x | 29 | 56% |
| EMA 크로스오버 fast=18, slow=31 |
0.7% | -69.0% | 0.25 | 0.01 | 1.1x | 45 | 50% |
| SMA 크로스오버 fast=76, slow=155 |
-5.4% | -74.6% | 0.12 | -0.07 | 0.6x | 17 | 48% |
| ROC 모멘텀 n=117, threshold=0 |
-9.8% | -77.5% | 0.00 | -0.13 | 0.4x | 65 | 49% |
| Parabolic SAR step=0.01, maxStep=0.16 |
-11.5% | -83.0% | -0.04 | -0.14 | 0.3x | 112 | 48% |
| Keltner 채널 돌파 emaPeriod=48, atrPeriod=11, mult=2.9 |
-7.3% | -66.2% | -0.12 | -0.11 | 0.5x | 20 | 21% |
| Buy and hold | -2.6% | -77.0% | 0.27 | -0.03 | 0.8x | 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 20-day average (3.2× volatility)
- Sell — Sell when the close falls back to the 20-day middle average