Trend-Following Backtester · Guide · backtest 한국어
equity · US
Oric Pharmaceuticals, Inc. backtest
10 trend-following strategies were compared on the full daily history of Oric Pharmaceuticals, Inc.. 10 beat buy-and-hold CAGR; Parabolic SAR ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is 볼린저 밴드 돌파 (CAGR 8.0%, MDD -43.0%).
Results by strategy
10 of 10 beat buy and hold (CAGR -10.3%, drawdown -93.9%).
Sharpe leader (same as main): Parabolic SAR — CAGR 21.2%, MDD -62.3%, Sharpe 0.61, 50% exposure.
Return/drawdown alternative: 볼린저 밴드 돌파 — CAGR is 31.5%p higher than buy and hold, while drawdown improves by 31.5%p (CAGR 8.0%, MDD -43.0%, exposure 30%).
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 |
|---|---|---|---|---|---|---|---|
| Parabolic SAR step=0.01, maxStep=0.28 |
21.2% | -62.3% | 0.61 | 0.34 | 3.4x | 89 | 50% |
| MACD fast=10, slow=30, signal=13 |
16.5% | -78.6% | 0.55 | 0.21 | 2.6x | 96 | 50% |
| Keltner 채널 돌파 emaPeriod=17, atrPeriod=11, mult=1.2 |
10.9% | -57.8% | 0.45 | 0.19 | 1.9x | 68 | 29% |
| Supertrend period=20, mult=2.7 |
9.0% | -72.5% | 0.42 | 0.12 | 1.7x | 43 | 41% |
| ADX / DI 방향성 period=29, threshold=9 |
7.6% | -62.7% | 0.42 | 0.12 | 1.6x | 59 | 52% |
| Donchian 채널 돌파 entryN=23, exitN=26 |
5.9% | -63.3% | 0.39 | 0.09 | 1.4x | 25 | 47% |
| ROC 모멘텀 n=36, threshold=0.1 |
6.8% | -58.3% | 0.39 | 0.12 | 1.5x | 67 | 35% |
| 볼린저 밴드 돌파 n=22, k=2 |
8.0% | -43.0% | 0.39 | 0.19 | 1.6x | 56 | 30% |
| EMA 크로스오버 fast=10, slow=23 |
-7.4% | -69.7% | 0.15 | -0.11 | 0.6x | 65 | 46% |
| SMA 크로스오버 fast=30, slow=197 |
-6.1% | -73.5% | 0.12 | -0.08 | 0.7x | 15 | 38% |
| Buy and hold | -10.3% | -93.9% | 0.31 | -0.11 | 0.5x | 1 | 100% |
Rules of the top strategy
Trades around the Parabolic SAR dots that accelerate toward price.
- Buy — Buy when price rises above the SAR dots
- Sell — Sell when price falls below the SAR dots