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; Donchian 채널 돌파 ranks first by Sharpe, matching the main backtester.
Results by strategy
10 of 10 beat buy and hold (CAGR -22.2%, drawdown -100.0%).
Sharpe leader (same as main): Donchian 채널 돌파 — CAGR 2.8%, MDD -92.9%, Sharpe 0.31, 34% exposure.
No strategy retained at least 75% of buy-and-hold CAGR while reducing drawdown by both 20% relatively and 5 percentage points absolutely.
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 |
|---|---|---|---|---|---|---|---|
| Donchian 채널 돌파 entryN=99, exitN=74 |
2.8% | -92.9% | 0.31 | 0.03 | 2.2x | 30 | 34% |
| SMA 크로스오버 fast=48, slow=196 |
2.6% | -84.6% | 0.31 | 0.03 | 2.0x | 40 | 32% |
| EMA 크로스오버 fast=9, slow=244 |
1.4% | -93.3% | 0.28 | 0.01 | 1.5x | 54 | 28% |
| Parabolic SAR step=0.04, maxStep=0.22 |
-5.5% | -95.7% | 0.25 | -0.06 | 0.2x | 778 | 45% |
| ADX / DI 방향성 period=17, threshold=18 |
-4.1% | -94.1% | 0.24 | -0.04 | 0.3x | 292 | 34% |
| 볼린저 밴드 돌파 n=43, k=2.8 |
-0.9% | -89.3% | 0.23 | -0.01 | 0.8x | 68 | 17% |
| ROC 모멘텀 n=125, threshold=0 |
-6.5% | -95.0% | 0.23 | -0.07 | 0.2x | 250 | 37% |
| Supertrend period=27, mult=1.9 |
-7.8% | -99.3% | 0.18 | -0.08 | 0.1x | 314 | 38% |
| MACD fast=19, slow=57, signal=14 |
-15.4% | -99.7% | 0.14 | -0.15 | 0.0x | 320 | 51% |
| Keltner 채널 돌파 emaPeriod=48, atrPeriod=23, mult=1.2 |
-12.0% | -98.6% | 0.08 | -0.12 | 0.0x | 196 | 29% |
| Buy and hold | -22.2% | -100.0% | 0.24 | -0.22 | 0.0x | 1 | 100% |
Rules of the top strategy
A new high means a trend starting; a new low means it’s over (turtle-trading style).
- Buy — Buy on a breakout above the highest high of the last 99 days
- Sell — Sell when price breaks below the lowest low of the last 74 days