Trend-Following Backtester · Guide · backtest 한국어
equity · US
Rigel Pharmaceuticals, Inc. backtest
10 trend-following strategies were compared on the full daily history of Rigel Pharmaceuticals, Inc.. 10 beat buy-and-hold CAGR; Supertrend ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is 볼린저 밴드 돌파 (CAGR 4.2%, MDD -74.0%).
Results by strategy
10 of 10 beat buy and hold (CAGR -9.7%, drawdown -99.4%).
Sharpe leader (same as main): Supertrend — CAGR 6.3%, MDD -87.0%, Sharpe 0.34, 47% exposure.
Return/drawdown alternative: 볼린저 밴드 돌파 — CAGR is 16.0%p higher than buy and hold, while drawdown improves by 12.4%p (CAGR 4.2%, MDD -74.0%, exposure 26%).
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=19, mult=2.3 |
6.3% | -87.0% | 0.34 | 0.07 | 4.8x | 217 | 47% |
| Donchian 채널 돌파 entryN=9, exitN=20 |
1.9% | -92.1% | 0.32 | 0.02 | 1.6x | 197 | 64% |
| 볼린저 밴드 돌파 n=25, k=2.1 |
4.2% | -74.0% | 0.29 | 0.06 | 2.9x | 165 | 26% |
| MACD fast=15, slow=53, signal=13 |
0.2% | -94.2% | 0.27 | 0.00 | 1.1x | 331 | 51% |
| Parabolic SAR step=0.015, maxStep=0.12 |
0.2% | -97.1% | 0.26 | 0.00 | 1.0x | 419 | 44% |
| ADX / DI 방향성 period=6, threshold=33 |
-1.9% | -92.8% | 0.18 | -0.02 | 0.6x | 483 | 29% |
| ROC 모멘텀 n=14, threshold=0.11 |
-2.1% | -90.7% | 0.16 | -0.02 | 0.6x | 499 | 21% |
| Keltner 채널 돌파 emaPeriod=26, atrPeriod=24, mult=2.1 |
-1.5% | -81.8% | 0.11 | -0.02 | 0.7x | 125 | 22% |
| EMA 크로스오버 fast=8, slow=28 |
-7.5% | -98.1% | 0.09 | -0.08 | 0.1x | 263 | 45% |
| SMA 크로스오버 fast=15, slow=18 |
-9.7% | -99.1% | 0.05 | -0.10 | 0.1x | 501 | 46% |
| Buy and hold | -9.7% | -99.4% | 0.27 | -0.10 | 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) — 19-day volatility, 2.3× band
- Sell — Sell when price drops below the trend line (flips down)