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 9.4%, MDD -43.0%).
Results by strategy
10 of 10 beat buy and hold (CAGR -12.7%, drawdown -93.9%).
Sharpe leader (same as main): Parabolic SAR — CAGR 23.3%, MDD -62.3%, Sharpe 0.64, 50% exposure.
Return/drawdown alternative: 볼린저 밴드 돌파 — CAGR is 36.0%p higher than buy and hold, while drawdown improves by 31.5%p (CAGR 9.4%, MDD -43.0%, exposure 29%).
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 |
23.3% | -62.3% | 0.64 | 0.37 | 3.7x | 87 | 50% |
| MACD fast=10, slow=30, signal=13 |
17.1% | -78.6% | 0.56 | 0.22 | 2.7x | 93 | 50% |
| Keltner 채널 돌파 emaPeriod=17, atrPeriod=11, mult=1.2 |
11.6% | -57.8% | 0.46 | 0.20 | 2.0x | 65 | 28% |
| 볼린저 밴드 돌파 n=22, k=2 |
9.4% | -43.0% | 0.42 | 0.22 | 1.8x | 53 | 29% |
| ADX / DI 방향성 period=29, threshold=9 |
4.9% | -62.7% | 0.38 | 0.08 | 1.4x | 59 | 52% |
| Supertrend period=20, mult=2.7 |
6.4% | -72.5% | 0.38 | 0.09 | 1.5x | 43 | 41% |
| Donchian 채널 돌파 entryN=23, exitN=26 |
3.3% | -63.3% | 0.35 | 0.05 | 1.2x | 25 | 47% |
| ROC 모멘텀 n=36, threshold=0.1 |
4.2% | -58.3% | 0.34 | 0.07 | 1.3x | 67 | 35% |
| EMA 크로스오버 fast=10, slow=23 |
-9.9% | -69.7% | 0.10 | -0.14 | 0.5x | 65 | 45% |
| SMA 크로스오버 fast=30, slow=197 |
-8.6% | -73.5% | 0.06 | -0.12 | 0.6x | 15 | 38% |
| Buy and hold | -12.7% | -93.9% | 0.28 | -0.14 | 0.4x | 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