Trend-Following Backtester · Guide · backtest 한국어
equity · US
Iovance Biotherapeutics, Inc. backtest
10 trend-following strategies were compared on the full daily history of Iovance Biotherapeutics, Inc.. 6 beat buy-and-hold CAGR; ADX / DI 방향성 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is 볼린저 밴드 돌파 (CAGR 7.1%, MDD -40.3%).
Results by strategy
6 of 10 beat buy and hold (CAGR -15.1%, drawdown -99.4%).
Sharpe leader (same as main): ADX / DI 방향성 — CAGR 11.3%, MDD -77.1%, Sharpe 0.48, 46% exposure.
Return/drawdown alternative: 볼린저 밴드 돌파 — CAGR is 26.4%p higher than buy and hold, while drawdown improves by 22.3%p (CAGR 7.1%, MDD -40.3%, exposure 4%).
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 |
|---|---|---|---|---|---|---|---|
| ADX / DI 방향성 period=31, threshold=9 |
11.3% | -77.1% | 0.48 | 0.15 | 5.5x | 165 | 46% |
| SMA 크로스오버 fast=42, slow=190 |
9.6% | -68.6% | 0.43 | 0.14 | 4.3x | 19 | 39% |
| MACD fast=22, slow=45, signal=18 |
-17.5% | -98.9% | 0.40 | -0.18 | 0.0x | 171 | 51% |
| EMA 크로스오버 fast=34, slow=197 |
6.5% | -74.1% | 0.36 | 0.09 | 2.7x | 19 | 34% |
| 볼린저 밴드 돌파 n=18, k=3.5 |
7.1% | -40.3% | 0.34 | 0.18 | 3.0x | 16 | 4% |
| Donchian 채널 돌파 entryN=32, exitN=88 |
-17.3% | -99.2% | 0.30 | -0.17 | 0.0x | 33 | 68% |
| ROC 모멘텀 n=140, threshold=0.01 |
1.6% | -81.1% | 0.30 | 0.02 | 1.3x | 135 | 42% |
| Keltner 채널 돌파 emaPeriod=18, atrPeriod=14, mult=2.4 |
-4.3% | -93.5% | 0.24 | -0.05 | 0.5x | 61 | 15% |
| Parabolic SAR step=0.025, maxStep=0.16 |
-23.6% | -98.9% | 0.17 | -0.24 | 0.0x | 347 | 47% |
| Supertrend period=26, mult=2.6 |
-20.9% | -99.4% | 0.13 | -0.21 | 0.0x | 143 | 44% |
| Buy and hold | -15.1% | -99.4% | 0.56 | -0.15 | 0.1x | 1 | 100% |
Rules of the top strategy
Looks at both the direction and the strength of the trend; holds only in a strong uptrend.
- Buy — Buy when up-direction (+DI) beats down-direction (−DI) and trend strength (ADX, 31-day) is ≥ 9
- Sell — Sell when direction flips or the trend weakens (ADX < 9)