Trend-Following Backtester · Guide · backtest 한국어
equity · US
Puma Biotechnology Inc backtest
10 trend-following strategies were compared on the full daily history of Puma Biotechnology Inc. 10 beat buy-and-hold CAGR; Keltner 채널 돌파 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is Keltner 채널 돌파 (CAGR 12.1%, MDD -52.6%).
Results by strategy
10 of 10 beat buy and hold (CAGR -3.9%, drawdown -99.4%).
Sharpe leader (same as main): Keltner 채널 돌파 — CAGR 12.1%, MDD -52.6%, Sharpe 0.53, 15% exposure.
CAGR reference leader: MACD — CAGR 19.8%, MDD -83.4%, exposure 51%.
Return/drawdown alternative: Keltner 채널 돌파 — CAGR is 16.0%p higher than buy and hold, while drawdown improves by 46.8%p (CAGR 12.1%, MDD -52.6%, exposure 15%).
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 |
|---|---|---|---|---|---|---|---|
| Keltner 채널 돌파 emaPeriod=29, atrPeriod=26, mult=3.7 |
12.1% | -52.6% | 0.53 | 0.23 | 5.1x | 26 | 15% |
| MACD fast=15, slow=44, signal=17 |
19.8% | -83.4% | 0.47 | 0.24 | 13.2x | 152 | 51% |
| Donchian 채널 돌파 entryN=34, exitN=36 |
7.7% | -89.5% | 0.40 | 0.09 | 2.9x | 45 | 50% |
| SMA 크로스오버 fast=50, slow=68 |
6.5% | -94.2% | 0.38 | 0.07 | 2.4x | 57 | 49% |
| ROC 모멘텀 n=29, threshold=-0.02 |
8.4% | -92.9% | 0.36 | 0.09 | 3.2x | 267 | 51% |
| Supertrend period=29, mult=2.4 |
7.0% | -84.8% | 0.34 | 0.08 | 2.6x | 129 | 44% |
| 볼린저 밴드 돌파 n=31, k=1.3 |
5.4% | -76.6% | 0.34 | 0.07 | 2.1x | 112 | 35% |
| ADX / DI 방향성 period=19, threshold=20 |
2.6% | -89.6% | 0.28 | 0.03 | 1.4x | 126 | 32% |
| EMA 크로스오버 fast=5, slow=177 |
2.5% | -89.4% | 0.27 | 0.03 | 1.4x | 45 | 40% |
| Parabolic SAR step=0.005, maxStep=0.08 |
-2.3% | -93.4% | 0.24 | -0.02 | 0.7x | 112 | 46% |
| Buy and hold | -3.9% | -99.4% | 0.35 | -0.04 | 0.6x | 1 | 100% |
Rules of the top strategy
Breaking above the channel top (average plus a multiple of volatility) signals an upside breakout.
- Buy — Buy when the close breaks above the 29-day average + 3.7× volatility (Keltner top)
- Sell — Sell when the close falls back to the 29-day average