Trend-Following Backtester · Guide · backtest 한국어
equity · US
Indivior Pharmaceuticals, Inc. backtest
10 trend-following strategies were compared on the full daily history of Indivior Pharmaceuticals, Inc.. 3 beat buy-and-hold CAGR; SMA 크로스오버 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is ADX / DI 방향성 (CAGR 10.9%, MDD -27.0%).
Results by strategy
3 of 10 beat buy and hold (CAGR 12.1%, drawdown -93.8%).
Sharpe leader (same as main): SMA 크로스오버 — CAGR 23.5%, MDD -61.8%, Sharpe 0.70, 56% exposure.
Return/drawdown alternative: ADX / DI 방향성 — CAGR is 11.5%p higher than buy and hold, while drawdown improves by 32.0%p (CAGR 10.9%, MDD -27.0%, exposure 13%).
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=38, slow=236 |
23.5% | -61.8% | 0.70 | 0.38 | 11.6x | 11 | 56% |
| ROC 모멘텀 n=139, threshold=0.24 |
18.6% | -41.8% | 0.66 | 0.45 | 7.2x | 72 | 36% |
| ADX / DI 방향성 period=36, threshold=26 |
10.9% | -27.0% | 0.59 | 0.40 | 3.3x | 14 | 13% |
| Donchian 채널 돌파 entryN=152, exitN=67 |
15.8% | -54.8% | 0.58 | 0.29 | 5.4x | 13 | 42% |
| EMA 크로스오버 fast=18, slow=170 |
6.2% | -93.2% | 0.48 | 0.07 | 2.0x | 15 | 56% |
| 볼린저 밴드 돌파 n=42, k=3.5 |
5.9% | -43.2% | 0.39 | 0.14 | 1.9x | 16 | 14% |
| Keltner 채널 돌파 emaPeriod=34, atrPeriod=12, mult=2.1 |
-4.9% | -91.3% | 0.24 | -0.05 | 0.6x | 78 | 40% |
| Supertrend period=13, mult=3.3 |
-9.0% | -95.4% | 0.21 | -0.09 | 0.3x | 107 | 57% |
| Parabolic SAR step=0.025, maxStep=0.36 |
-12.5% | -94.3% | 0.09 | -0.13 | 0.2x | 231 | 51% |
| MACD fast=16, slow=48, signal=17 |
-18.3% | -98.2% | 0.02 | -0.19 | 0.1x | 134 | 51% |
| Buy and hold | 12.1% | -93.8% | 0.43 | 0.13 | 3.7x | 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 38-day average price crosses above the 236-day average
- Sell — Sell (to cash) when the 38-day average falls below the 236-day average