Trend-Following Backtester · Guide · backtest 한국어
equity · US
Roivant Sciences Ltd. backtest
10 trend-following strategies were compared on the full daily history of Roivant Sciences Ltd.. 5 beat buy-and-hold CAGR; SMA 크로스오버 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is SMA 크로스오버 (CAGR 36.2%, MDD -36.5%).
Results by strategy
5 of 10 beat buy and hold (CAGR 23.3%, drawdown -79.2%).
Sharpe leader (same as main): SMA 크로스오버 — CAGR 36.2%, MDD -36.5%, Sharpe 1.04, 56% exposure.
Return/drawdown alternative: SMA 크로스오버 — CAGR is 13.0%p higher than buy and hold, while drawdown improves by 42.7%p (CAGR 36.2%, MDD -36.5%, exposure 56%).
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 |
|---|---|---|---|---|---|---|---|
| SMA 크로스오버 fast=53, slow=195 |
36.2% | -36.5% | 1.04 | 0.99 | 5.9x | 5 | 56% |
| EMA 크로스오버 fast=81, slow=129 |
32.5% | -36.5% | 0.96 | 0.89 | 5.0x | 3 | 58% |
| ROC 모멘텀 n=110, threshold=0.08 |
30.9% | -44.7% | 0.93 | 0.69 | 4.7x | 37 | 44% |
| Keltner 채널 돌파 emaPeriod=50, atrPeriod=13, mult=3.6 |
15.9% | -24.8% | 0.81 | 0.64 | 2.3x | 9 | 19% |
| Donchian 채널 돌파 entryN=11, exitN=70 |
28.7% | -66.4% | 0.75 | 0.43 | 4.2x | 15 | 84% |
| Supertrend period=18, mult=3.7 |
23.4% | -50.4% | 0.70 | 0.47 | 3.3x | 23 | 63% |
| ADX / DI 방향성 period=31, threshold=37 |
4.1% | -7.1% | 0.64 | 0.58 | 1.3x | 2 | 4% |
| Parabolic SAR step=0.005, maxStep=0.08 |
17.3% | -56.7% | 0.59 | 0.31 | 2.5x | 49 | 59% |
| 볼린저 밴드 돌파 n=44, k=1.6 |
5.4% | -56.4% | 0.32 | 0.10 | 1.4x | 46 | 45% |
| MACD fast=8, slow=35, signal=11 |
-7.2% | -70.4% | 0.00 | -0.10 | 0.7x | 126 | 52% |
| Buy and hold | 23.3% | -79.2% | 0.65 | 0.29 | 3.3x | 1 | 100% |
Rules of the top strategy
When the short average rises above the long average, it reads that as an uptrend starting.
- Buy — Buy when the 53-day average price crosses above the 195-day average
- Sell — Sell (to cash) when the 53-day average falls below the 195-day average