Trend-Following Backtester · Guide · backtest 한국어
equity · US
Immunic, Inc. backtest
10 trend-following strategies were compared on the full daily history of Immunic, Inc.. 10 beat buy-and-hold CAGR; Parabolic SAR ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is Keltner 채널 돌파 (CAGR 4.3%, MDD -29.8%).
Results by strategy
10 of 10 beat buy and hold (CAGR -37.9%, drawdown -100.0%).
Sharpe leader (same as main): Parabolic SAR — CAGR -4.8%, MDD -95.3%, Sharpe 0.34, 44% exposure.
CAGR reference leader: Keltner 채널 돌파 — CAGR 4.3%, MDD -29.8%, exposure 1%.
Return/drawdown alternative: Keltner 채널 돌파 — CAGR is 33.0%p higher than buy and hold, while drawdown improves by 4.6%p (CAGR 4.3%, MDD -29.8%, exposure 1%).
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 |
|---|---|---|---|---|---|---|---|
| Parabolic SAR step=0.04, maxStep=0.36 |
-4.8% | -95.3% | 0.34 | -0.05 | 0.5x | 381 | 44% |
| MACD fast=6, slow=26, signal=4 |
-10.7% | -97.5% | 0.30 | -0.11 | 0.3x | 398 | 51% |
| Keltner 채널 돌파 emaPeriod=6, atrPeriod=20, mult=3.6 |
4.3% | -29.8% | 0.28 | 0.14 | 1.7x | 6 | 1% |
| ROC 모멘텀 n=14, threshold=-0.01 |
-16.8% | -98.2% | 0.20 | -0.17 | 0.1x | 376 | 49% |
| ADX / DI 방향성 period=18, threshold=10 |
-17.2% | -96.9% | 0.15 | -0.18 | 0.1x | 197 | 49% |
| Donchian 채널 돌파 entryN=25, exitN=41 |
-19.5% | -99.1% | 0.13 | -0.20 | 0.1x | 47 | 53% |
| Supertrend period=11, mult=2.2 |
-16.8% | -98.0% | 0.13 | -0.17 | 0.1x | 122 | 41% |
| 볼린저 밴드 돌파 n=29, k=1.1 |
-14.7% | -97.9% | 0.10 | -0.15 | 0.1x | 118 | 32% |
| EMA 크로스오버 fast=50, slow=110 |
-21.6% | -98.0% | 0.01 | -0.22 | 0.1x | 15 | 28% |
| SMA 크로스오버 fast=54, slow=166 |
-27.6% | -99.2% | -0.04 | -0.28 | 0.0x | 23 | 35% |
| Buy and hold | -37.9% | -100.0% | 0.25 | -0.38 | 0.0x | 1 | 100% |
Rules of the top strategy
Trades around the Parabolic SAR dots that accelerate toward price.
- Buy — Buy when price rises above the SAR dots
- Sell — Sell when price falls below the SAR dots