Trend-Following Backtester · Guide · backtest 한국어
equity · US
Incyte Corporation backtest
10 trend-following strategies were compared on the full daily history of Incyte Corporation. 4 beat buy-and-hold CAGR; ROC 모멘텀 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is Supertrend (CAGR 15.0%, MDD -75.8%).
Results by strategy
4 of 10 beat buy and hold (CAGR 13.5%, drawdown -98.5%).
Sharpe leader (same as main): ROC 모멘텀 — CAGR 16.8%, MDD -83.2%, Sharpe 0.57, 58% exposure.
Return/drawdown alternative: Supertrend — CAGR is 3.2%p higher than buy and hold, while drawdown improves by 15.3%p (CAGR 15.0%, MDD -75.8%, exposure 50%).
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 |
|---|---|---|---|---|---|---|---|
| ROC 모멘텀 n=149, threshold=-0.02 |
16.8% | -83.2% | 0.57 | 0.20 | 159.5x | 209 | 58% |
| Supertrend period=8, mult=2.1 |
15.0% | -75.8% | 0.54 | 0.20 | 97.2x | 357 | 50% |
| SMA 크로스오버 fast=11, slow=44 |
14.0% | -79.1% | 0.52 | 0.18 | 73.7x | 225 | 52% |
| MACD fast=18, slow=36, signal=19 |
14.1% | -83.6% | 0.51 | 0.17 | 75.2x | 349 | 50% |
| 볼린저 밴드 돌파 n=27, k=1.5 |
12.2% | -74.4% | 0.49 | 0.16 | 43.0x | 305 | 37% |
| Keltner 채널 돌파 emaPeriod=11, atrPeriod=34, mult=1.5 |
10.0% | -58.1% | 0.46 | 0.17 | 22.7x | 281 | 21% |
| EMA 크로스오버 fast=19, slow=183 |
11.4% | -87.3% | 0.46 | 0.13 | 34.6x | 71 | 54% |
| ADX / DI 방향성 period=29, threshold=10 |
10.5% | -77.2% | 0.44 | 0.14 | 26.0x | 389 | 49% |
| Donchian 채널 돌파 entryN=51, exitN=14 |
9.9% | -66.3% | 0.44 | 0.15 | 21.7x | 141 | 31% |
| Parabolic SAR step=0.01, maxStep=0.3 |
9.6% | -84.7% | 0.43 | 0.11 | 20.2x | 429 | 51% |
| Buy and hold | 13.5% | -98.5% | 0.51 | 0.14 | 63.4x | 1 | 100% |
Rules of the top strategy
Rides the trend when recent return (momentum) over a window is above a threshold.
- Buy — Buy when the last 149-day return is greater than -2%
- Sell — Sell when the 149-day return drops to -2% or below