Trend-Following Backtester · Guide · backtest 한국어
equity · US
Palisade Bio, Inc. backtest
10 trend-following strategies were compared on the full daily history of Palisade Bio, Inc.. 10 beat buy-and-hold CAGR; SMA 크로스오버 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is EMA 크로스오버 (CAGR 3.7%, MDD -63.1%).
Results by strategy
10 of 10 beat buy and hold (CAGR -52.8%, drawdown -100.0%).
Sharpe leader (same as main): SMA 크로스오버 — CAGR 0.7%, MDD -96.4%, Sharpe 0.27, 30% exposure.
CAGR reference leader: EMA 크로스오버 — CAGR 3.7%, MDD -63.1%, exposure 16%.
Return/drawdown alternative: EMA 크로스오버 — CAGR is 53.4%p higher than buy and hold, while drawdown improves by 3.6%p (CAGR 3.7%, MDD -63.1%, exposure 16%).
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 |
|---|---|---|---|---|---|---|---|
| SMA 크로스오버 fast=72, slow=146 |
0.7% | -96.4% | 0.27 | 0.01 | 1.1x | 25 | 30% |
| EMA 크로스오버 fast=73, slow=253 |
3.7% | -63.1% | 0.27 | 0.06 | 2.0x | 6 | 16% |
| ADX / DI 방향성 period=52, threshold=20 |
0.4% | -88.5% | 0.24 | 0.00 | 1.1x | 16 | 24% |
| ROC 모멘텀 n=134, threshold=0.27 |
2.0% | -78.5% | 0.24 | 0.03 | 1.5x | 80 | 18% |
| Donchian 채널 돌파 entryN=150, exitN=75 |
-5.3% | -93.0% | 0.11 | -0.06 | 0.3x | 11 | 25% |
| Supertrend period=24, mult=1.3 |
-17.6% | -99.5% | 0.07 | -0.18 | 0.0x | 288 | 37% |
| MACD fast=14, slow=28, signal=9 |
-24.9% | -100.0% | 0.05 | -0.25 | 0.0x | 308 | 52% |
| 볼린저 밴드 돌파 n=15, k=1.5 |
-22.8% | -99.7% | -0.03 | -0.23 | 0.0x | 292 | 28% |
| Parabolic SAR step=0.015, maxStep=0.38 |
-27.4% | -100.0% | -0.06 | -0.27 | 0.0x | 288 | 40% |
| Keltner 채널 돌파 emaPeriod=57, atrPeriod=28, mult=1.1 |
-27.5% | -99.9% | -0.29 | -0.27 | 0.0x | 116 | 24% |
| Buy and hold | -52.8% | -100.0% | -0.13 | -0.53 | 0.0x | 1 | 100% |
Rules of the top strategy
When the short average rises above the long average, it reads that as an uptrend starting.
- Buy — Buy when the 72-day average price crosses above the 146-day average
- Sell — Sell (to cash) when the 72-day average falls below the 146-day average