Trend-Following Backtester · Guide · backtest 한국어
equity · US
Outlook Therapeutics, Inc. backtest
10 trend-following strategies were compared on the full daily history of Outlook Therapeutics, Inc.. 10 beat buy-and-hold CAGR; MACD ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is Keltner 채널 돌파 (CAGR 6.2%, MDD -42.3%).
Results by strategy
10 of 10 beat buy and hold (CAGR -47.7%, drawdown -100.0%).
Sharpe leader (same as main): MACD — CAGR 7.1%, MDD -90.8%, Sharpe 0.51, 54% exposure.
Return/drawdown alternative: Keltner 채널 돌파 — CAGR is 54.7%p higher than buy and hold, while drawdown improves by 9.2%p (CAGR 6.2%, MDD -42.3%, exposure 2%).
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 |
|---|---|---|---|---|---|---|---|
| MACD fast=12, slow=51, signal=21 |
7.1% | -90.8% | 0.51 | 0.08 | 2.0x | 94 | 54% |
| Parabolic SAR step=0.04, maxStep=0.2 |
-7.3% | -98.0% | 0.36 | -0.07 | 0.5x | 272 | 43% |
| ROC 모멘텀 n=4, threshold=0.13 |
4.1% | -79.1% | 0.33 | 0.05 | 1.5x | 204 | 10% |
| Keltner 채널 돌파 emaPeriod=11, atrPeriod=27, mult=4 |
6.2% | -42.3% | 0.33 | 0.15 | 1.8x | 8 | 2% |
| ADX / DI 방향성 period=11, threshold=39 |
2.8% | -62.1% | 0.29 | 0.05 | 1.3x | 42 | 12% |
| Donchian 채널 돌파 entryN=9, exitN=21 |
-14.3% | -97.2% | 0.28 | -0.15 | 0.2x | 72 | 62% |
| 볼린저 밴드 돌파 n=23, k=2.2 |
-3.5% | -91.5% | 0.26 | -0.04 | 0.7x | 72 | 21% |
| Supertrend period=15, mult=2.6 |
-12.1% | -96.7% | 0.21 | -0.13 | 0.3x | 62 | 44% |
| SMA 크로스오버 fast=12, slow=46 |
-18.1% | -97.1% | 0.08 | -0.19 | 0.1x | 69 | 40% |
| EMA 크로스오버 fast=8, slow=184 |
-8.1% | -73.5% | 0.03 | -0.11 | 0.4x | 17 | 18% |
| Buy and hold | -47.7% | -100.0% | 0.12 | -0.48 | 0.0x | 1 | 100% |
Rules of the top strategy
Looks at the gap (MACD) between a short and long average crossing its own signal line.
- Buy — Buy when the MACD line (12/51) crosses above its 21-day signal line
- Sell — Sell when the MACD line crosses back below the signal line