Trend-Following Backtester · Guide · backtest 한국어
equity · US
Rocket Pharmaceuticals, Inc. backtest
10 trend-following strategies were compared on the full daily history of Rocket Pharmaceuticals, Inc.. 10 beat buy-and-hold CAGR; Supertrend ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is ADX / DI 방향성 (CAGR 5.6%, MDD -43.1%).
Results by strategy
10 of 10 beat buy and hold (CAGR -16.4%, drawdown -96.7%).
Sharpe leader (same as main): Supertrend — CAGR 10.5%, MDD -74.5%, Sharpe 0.38, 40% exposure.
Return/drawdown alternative: ADX / DI 방향성 — CAGR is 26.9%p higher than buy and hold, while drawdown improves by 22.2%p (CAGR 5.6%, MDD -43.1%, 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 |
|---|---|---|---|---|---|---|---|
| Supertrend period=36, mult=4.9 |
10.5% | -74.5% | 0.38 | 0.14 | 3.1x | 31 | 40% |
| Parabolic SAR step=0.02, maxStep=0.12 |
5.1% | -86.2% | 0.33 | 0.06 | 1.8x | 224 | 46% |
| ADX / DI 방향성 period=38, threshold=22 |
5.6% | -43.1% | 0.33 | 0.13 | 1.9x | 10 | 13% |
| SMA 크로스오버 fast=37, slow=43 |
-0.7% | -92.3% | 0.31 | -0.01 | 0.9x | 109 | 46% |
| MACD fast=12, slow=57, signal=12 |
0.3% | -94.9% | 0.31 | 0.00 | 1.0x | 148 | 51% |
| Donchian 채널 돌파 entryN=21, exitN=69 |
-3.1% | -92.4% | 0.31 | -0.03 | 0.7x | 35 | 66% |
| ROC 모멘텀 n=41, threshold=0.08 |
1.3% | -76.7% | 0.25 | 0.02 | 1.2x | 166 | 35% |
| EMA 크로스오버 fast=67, slow=156 |
0.2% | -75.2% | 0.21 | 0.00 | 1.0x | 14 | 37% |
| Keltner 채널 돌파 emaPeriod=73, atrPeriod=28, mult=3.1 |
-0.9% | -61.9% | 0.17 | -0.01 | 0.9x | 30 | 21% |
| 볼린저 밴드 돌파 n=32, k=3.5 |
0.8% | -52.0% | 0.15 | 0.02 | 1.1x | 18 | 8% |
| Buy and hold | -16.4% | -96.7% | 0.26 | -0.17 | 0.1x | 1 | 100% |
Rules of the top strategy
Trades the direction of a volatility-based trend line that trails below/above price.
- Buy — Buy when price moves above the trend line (flips up) — 36-day volatility, 4.9× band
- Sell — Sell when price drops below the trend line (flips down)