Trend-Following Backtester · Guide · backtest 한국어
equity · US
Revolution Medicines, Inc. backtest
10 trend-following strategies were compared on the full daily history of Revolution Medicines, Inc.. 1 beat buy-and-hold CAGR; Supertrend ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is Supertrend (CAGR 44.7%, MDD -37.6%).
Results by strategy
1 of 10 beat buy and hold (CAGR 34.8%, drawdown -73.3%).
Sharpe leader (same as main): Supertrend — CAGR 44.7%, MDD -37.6%, Sharpe 1.08, 54% exposure.
Return/drawdown alternative: Supertrend — CAGR is 9.9%p higher than buy and hold, while drawdown improves by 35.7%p (CAGR 44.7%, MDD -37.6%, exposure 54%).
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=28, mult=3 |
44.7% | -37.6% | 1.08 | 1.19 | 11.2x | 29 | 54% |
| ADX / DI 방향성 period=27, threshold=29 |
16.7% | -22.1% | 0.95 | 0.75 | 2.7x | 3 | 10% |
| SMA 크로스오버 fast=18, slow=126 |
29.4% | -59.3% | 0.80 | 0.50 | 5.4x | 17 | 55% |
| EMA 크로스오버 fast=29, slow=113 |
26.9% | -63.1% | 0.74 | 0.43 | 4.8x | 11 | 54% |
| ROC 모멘텀 n=113, threshold=-0.02 |
26.5% | -67.6% | 0.72 | 0.39 | 4.7x | 51 | 57% |
| Donchian 채널 돌파 entryN=12, exitN=76 |
22.0% | -74.3% | 0.63 | 0.30 | 3.7x | 17 | 86% |
| Keltner 채널 돌파 emaPeriod=57, atrPeriod=10, mult=3.6 |
13.9% | -49.5% | 0.62 | 0.28 | 2.3x | 15 | 30% |
| 볼린저 밴드 돌파 n=55, k=1.6 |
16.2% | -57.4% | 0.59 | 0.28 | 2.7x | 27 | 44% |
| MACD fast=15, slow=24, signal=13 |
15.5% | -64.3% | 0.54 | 0.24 | 2.6x | 90 | 50% |
| Parabolic SAR step=0.01, maxStep=0.26 |
12.3% | -72.9% | 0.49 | 0.17 | 2.1x | 87 | 51% |
| Buy and hold | 34.8% | -73.3% | 0.79 | 0.48 | 7.1x | 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) — 28-day volatility, 3× band
- Sell — Sell when price drops below the trend line (flips down)