Trend-Following Backtester · Guide · backtest 한국어
equity · US
Prothena Corporation plc backtest
10 trend-following strategies were compared on the full daily history of Prothena Corporation plc. 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 17.1%, MDD -34.3%).
Results by strategy
10 of 10 beat buy and hold (CAGR 0.8%, drawdown -94.2%).
Sharpe leader (same as main): 볼린저 밴드 돌파 — CAGR 17.1%, MDD -34.3%, Sharpe 0.67, 16% exposure.
CAGR reference leader: SMA 크로스오버 — CAGR 19.8%, MDD -79.2%, exposure 47%.
Return/drawdown alternative: 볼린저 밴드 돌파 — CAGR is 16.3%p higher than buy and hold, while drawdown improves by 59.9%p (CAGR 17.1%, MDD -34.3%, 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 |
|---|---|---|---|---|---|---|---|
| 볼린저 밴드 돌파 n=47, k=3 |
17.1% | -34.3% | 0.67 | 0.50 | 8.6x | 18 | 16% |
| ADX / DI 방향성 period=31, threshold=16 |
18.5% | -59.9% | 0.62 | 0.31 | 10.1x | 58 | 28% |
| SMA 크로스오버 fast=39, slow=88 |
19.8% | -79.2% | 0.58 | 0.25 | 11.7x | 40 | 47% |
| Keltner 채널 돌파 emaPeriod=42, atrPeriod=13, mult=1.6 |
13.8% | -71.8% | 0.51 | 0.19 | 5.8x | 72 | 34% |
| Donchian 채널 돌파 entryN=17, exitN=8 |
13.0% | -67.8% | 0.47 | 0.19 | 5.3x | 108 | 39% |
| Supertrend period=20, mult=4.7 |
9.9% | -95.4% | 0.45 | 0.10 | 3.6x | 36 | 49% |
| ROC 모멘텀 n=60, threshold=0.08 |
10.5% | -85.3% | 0.42 | 0.12 | 3.9x | 154 | 39% |
| EMA 크로스오버 fast=19, slow=55 |
9.6% | -93.6% | 0.41 | 0.10 | 3.5x | 60 | 46% |
| Parabolic SAR step=0.005, maxStep=0.14 |
5.8% | -91.5% | 0.39 | 0.06 | 2.2x | 114 | 46% |
| MACD fast=10, slow=59, signal=15 |
8.1% | -83.6% | 0.39 | 0.10 | 2.9x | 186 | 51% |
| Buy and hold | 0.8% | -94.2% | 0.39 | 0.01 | 1.1x | 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 47-day average (3× volatility)
- Sell — Sell when the close falls back to the 47-day middle average