Trend-Following Backtester · Guide · backtest 한국어
equity · US
Inovio Pharmaceuticals, Inc. backtest
10 trend-following strategies were compared on the full daily history of Inovio Pharmaceuticals, Inc.. 10 beat buy-and-hold CAGR; ROC 모멘텀 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is ADX / DI 방향성 (CAGR 5.9%, MDD -79.3%).
Results by strategy
10 of 10 beat buy and hold (CAGR -20.5%, drawdown -100.0%).
Sharpe leader (same as main): ROC 모멘텀 — CAGR 4.0%, MDD -91.8%, Sharpe 0.31, 23% exposure.
CAGR reference leader: ADX / DI 방향성 — CAGR 5.9%, MDD -79.3%, exposure 11%.
Return/drawdown alternative: ADX / DI 방향성 — CAGR is 24.5%p higher than buy and hold, while drawdown improves by 8.2%p (CAGR 5.9%, MDD -79.3%, exposure 11%).
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=104, threshold=0.21 |
4.0% | -91.8% | 0.31 | 0.04 | 3.0x | 198 | 23% |
| Donchian 채널 돌파 entryN=96, exitN=75 |
2.9% | -92.9% | 0.31 | 0.03 | 2.2x | 30 | 33% |
| SMA 크로스오버 fast=47, slow=188 |
2.8% | -86.0% | 0.31 | 0.03 | 2.1x | 44 | 32% |
| EMA 크로스오버 fast=56, slow=127 |
2.4% | -88.0% | 0.29 | 0.03 | 2.0x | 40 | 29% |
| ADX / DI 방향성 period=35, threshold=22 |
5.9% | -79.3% | 0.29 | 0.07 | 4.9x | 32 | 11% |
| Parabolic SAR step=0.04, maxStep=0.22 |
-4.7% | -95.7% | 0.26 | -0.05 | 0.3x | 784 | 45% |
| 볼린저 밴드 돌파 n=42, k=1.2 |
-4.9% | -95.9% | 0.22 | -0.05 | 0.2x | 178 | 30% |
| MACD fast=11, slow=21, signal=13 |
-11.7% | -99.4% | 0.20 | -0.12 | 0.0x | 476 | 51% |
| Supertrend period=28, mult=1.9 |
-6.6% | -99.4% | 0.20 | -0.07 | 0.2x | 314 | 38% |
| Keltner 채널 돌파 emaPeriod=36, atrPeriod=11, mult=4 |
-3.9% | -90.4% | 0.10 | -0.04 | 0.3x | 40 | 9% |
| Buy and hold | -20.5% | -100.0% | 0.26 | -0.20 | 0.0x | 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 104-day return is greater than 21%
- Sell — Sell when the 104-day return drops to 21% or below