Trend-Following Backtester · Guide · backtest 한국어
equity · US
Ovid Therapeutics Inc. backtest
10 trend-following strategies were compared on the full daily history of Ovid Therapeutics Inc.. 10 beat buy-and-hold CAGR; 볼린저 밴드 돌파 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is 볼린저 밴드 돌파 (CAGR 19.4%, MDD -42.3%).
Results by strategy
10 of 10 beat buy and hold (CAGR -16.9%, drawdown -98.3%).
Sharpe leader (same as main): 볼린저 밴드 돌파 — CAGR 19.4%, MDD -42.3%, Sharpe 0.61, 13% exposure.
Return/drawdown alternative: 볼린저 밴드 돌파 — CAGR is 36.3%p higher than buy and hold, while drawdown improves by 56.0%p (CAGR 19.4%, MDD -42.3%, exposure 13%).
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 |
|---|---|---|---|---|---|---|---|
| 볼린저 밴드 돌파 n=28, k=3 |
19.4% | -42.3% | 0.61 | 0.46 | 5.1x | 20 | 13% |
| Keltner 채널 돌파 emaPeriod=32, atrPeriod=22, mult=2.8 |
15.4% | -51.4% | 0.54 | 0.30 | 3.8x | 22 | 16% |
| Donchian 채널 돌파 entryN=62, exitN=44 |
13.4% | -73.1% | 0.49 | 0.18 | 3.2x | 16 | 38% |
| SMA 크로스오버 fast=53, slow=119 |
12.9% | -62.3% | 0.49 | 0.21 | 3.1x | 17 | 42% |
| ROC 모멘텀 n=149, threshold=0.07 |
10.2% | -70.7% | 0.46 | 0.14 | 2.4x | 39 | 37% |
| ADX / DI 방향성 period=9, threshold=26 |
7.6% | -77.5% | 0.42 | 0.10 | 2.0x | 128 | 28% |
| Supertrend period=10, mult=3.6 |
5.1% | -78.6% | 0.40 | 0.07 | 1.6x | 36 | 47% |
| EMA 크로스오버 fast=38, slow=50 |
6.3% | -81.8% | 0.38 | 0.08 | 1.8x | 32 | 41% |
| MACD fast=13, slow=69, signal=17 |
-3.2% | -93.7% | 0.35 | -0.03 | 0.7x | 96 | 50% |
| Parabolic SAR step=0.015, maxStep=0.3 |
-7.4% | -98.1% | 0.27 | -0.08 | 0.5x | 160 | 48% |
| Buy and hold | -16.9% | -98.3% | 0.26 | -0.17 | 0.2x | 1 | 100% |
Rules of the top strategy
Breaking above the upper band (average plus a multiple of volatility) signals a strong move up.
- Buy — Buy when the close breaks above the upper band of the 28-day average (3× volatility)
- Sell — Sell when the close falls back to the 28-day middle average