Trend-Following Backtester · Guide · backtest 한국어
equity · US
Harmony Biosciences Holdings, Inc. backtest
10 trend-following strategies were compared on the full daily history of Harmony Biosciences Holdings, Inc.. 7 beat buy-and-hold CAGR; MACD ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is ADX / DI 방향성 (CAGR 1.9%, MDD -10.1%).
Results by strategy
7 of 10 beat buy and hold (CAGR 0.9%, drawdown -68.5%).
Sharpe leader (same as main): MACD — CAGR 15.4%, MDD -47.5%, Sharpe 0.59, 48% exposure.
Return/drawdown alternative: ADX / DI 방향성 — CAGR is 14.4%p higher than buy and hold, while drawdown improves by 20.9%p (CAGR 1.9%, MDD -10.1%, exposure 4%).
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 |
|---|---|---|---|---|---|---|---|
| MACD fast=11, slow=21, signal=6 |
15.4% | -47.5% | 0.59 | 0.32 | 2.4x | 126 | 48% |
| Supertrend period=23, mult=2.5 |
14.7% | -38.9% | 0.58 | 0.38 | 2.3x | 39 | 52% |
| 볼린저 밴드 돌파 n=18, k=2 |
10.5% | -37.1% | 0.53 | 0.28 | 1.8x | 53 | 30% |
| Donchian 채널 돌파 entryN=8, exitN=98 |
7.0% | -45.3% | 0.38 | 0.16 | 1.5x | 11 | 91% |
| ROC 모멘텀 n=20, threshold=0.04 |
5.2% | -58.0% | 0.32 | 0.09 | 1.4x | 115 | 39% |
| ADX / DI 방향성 period=21, threshold=32 |
1.9% | -10.1% | 0.26 | 0.18 | 1.1x | 8 | 4% |
| Keltner 채널 돌파 emaPeriod=18, atrPeriod=21, mult=1.3 |
2.2% | -42.8% | 0.22 | 0.05 | 1.1x | 53 | 32% |
| Parabolic SAR step=0.015, maxStep=0.14 |
-0.1% | -51.0% | 0.17 | -0.00 | 1.0x | 87 | 49% |
| SMA 크로스오버 fast=27, slow=203 |
-4.1% | -60.8% | 0.05 | -0.07 | 0.8x | 15 | 46% |
| EMA 크로스오버 fast=32, slow=189 |
-4.1% | -60.7% | 0.05 | -0.07 | 0.8x | 11 | 46% |
| Buy and hold | 0.9% | -68.5% | 0.29 | 0.01 | 1.1x | 1 | 100% |
Rules of the top strategy
Looks at the gap (MACD) between a short and long average crossing its own signal line.
- Buy — Buy when the MACD line (11/21) crosses above its 6-day signal line
- Sell — Sell when the MACD line crosses back below the signal line