Trend-Following Backtester · Guide · backtest 한국어
equity · US
Ultragenyx Pharmaceutical Inc. backtest
10 trend-following strategies were compared on the full daily history of Ultragenyx Pharmaceutical Inc.. 10 beat buy-and-hold CAGR; Donchian 채널 돌파 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is Donchian 채널 돌파 (CAGR 4.1%, MDD -34.4%).
Results by strategy
10 of 10 beat buy and hold (CAGR -4.2%, drawdown -89.6%).
Sharpe leader (same as main): Donchian 채널 돌파 — CAGR 4.1%, MDD -34.4%, Sharpe 0.32, 10% exposure.
Return/drawdown alternative: Donchian 채널 돌파 — CAGR is 8.3%p higher than buy and hold, while drawdown improves by 55.2%p (CAGR 4.1%, MDD -34.4%, exposure 10%).
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 |
|---|---|---|---|---|---|---|---|
| Donchian 채널 돌파 entryN=149, exitN=8 |
4.1% | -34.4% | 0.32 | 0.12 | 1.7x | 24 | 10% |
| Keltner 채널 돌파 emaPeriod=39, atrPeriod=17, mult=3.4 |
4.1% | -38.4% | 0.31 | 0.11 | 1.7x | 24 | 13% |
| Parabolic SAR step=0.035, maxStep=0.12 |
3.6% | -82.9% | 0.28 | 0.04 | 1.5x | 318 | 49% |
| Supertrend period=14, mult=1.9 |
2.7% | -70.2% | 0.26 | 0.04 | 1.4x | 144 | 49% |
| MACD fast=13, slow=49, signal=12 |
-1.1% | -85.2% | 0.17 | -0.01 | 0.9x | 184 | 53% |
| SMA 크로스오버 fast=40, slow=118 |
-1.1% | -83.3% | 0.17 | -0.01 | 0.9x | 23 | 42% |
| ADX / DI 방향성 period=13, threshold=35 |
1.4% | -44.9% | 0.17 | 0.03 | 1.2x | 38 | 10% |
| 볼린저 밴드 돌파 n=37, k=1.4 |
-0.2% | -79.0% | 0.15 | -0.00 | 1.0x | 92 | 34% |
| EMA 크로스오버 fast=4, slow=20 |
-3.9% | -80.5% | 0.09 | -0.05 | 0.6x | 194 | 48% |
| ROC 모멘텀 n=131, threshold=0.04 |
-2.8% | -75.6% | 0.08 | -0.04 | 0.7x | 89 | 38% |
| Buy and hold | -4.2% | -89.6% | 0.22 | -0.05 | 0.6x | 1 | 100% |
Rules of the top strategy
A new high means a trend starting; a new low means it’s over (turtle-trading style).
- Buy — Buy on a breakout above the highest high of the last 149 days
- Sell — Sell when price breaks below the lowest low of the last 8 days