Trend-Following Backtester · Guide · backtest 한국어
equity · US
Sol-Gel Technologies Ltd. backtest
10 trend-following strategies were compared on the full daily history of Sol-Gel Technologies Ltd.. 10 beat buy-and-hold CAGR; SMA 크로스오버 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is ADX / DI 방향성 (CAGR 8.5%, MDD -28.6%).
Results by strategy
10 of 10 beat buy and hold (CAGR -5.8%, drawdown -97.9%).
Sharpe leader (same as main): SMA 크로스오버 — CAGR 30.4%, MDD -65.7%, Sharpe 0.75, 33% exposure.
Return/drawdown alternative: ADX / DI 방향성 — CAGR is 36.2%p higher than buy and hold, while drawdown improves by 32.2%p (CAGR 8.5%, MDD -28.6%, exposure 4%).
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=52, slow=283 |
30.4% | -65.7% | 0.75 | 0.46 | 9.5x | 7 | 33% |
| EMA 크로스오버 fast=8, slow=216 |
23.6% | -66.3% | 0.64 | 0.36 | 6.1x | 17 | 30% |
| Keltner 채널 돌파 emaPeriod=33, atrPeriod=23, mult=2.7 |
17.1% | -59.7% | 0.56 | 0.29 | 3.8x | 14 | 13% |
| Donchian 채널 돌파 entryN=84, exitN=12 |
17.1% | -58.6% | 0.56 | 0.29 | 3.8x | 14 | 14% |
| ADX / DI 방향성 period=31, threshold=39 |
8.5% | -28.6% | 0.53 | 0.30 | 2.0x | 2 | 4% |
| Supertrend period=22, mult=4.9 |
18.7% | -83.2% | 0.47 | 0.22 | 4.3x | 13 | 43% |
| ROC 모멘텀 n=96, threshold=0.01 |
20.4% | -75.3% | 0.47 | 0.27 | 4.8x | 64 | 35% |
| 볼린저 밴드 돌파 n=29, k=3.5 |
8.6% | -70.9% | 0.40 | 0.12 | 2.0x | 19 | 14% |
| MACD fast=17, slow=33, signal=18 |
-5.4% | -94.9% | 0.25 | -0.06 | 0.6x | 103 | 52% |
| Parabolic SAR step=0.045, maxStep=0.36 |
-4.1% | -86.0% | 0.24 | -0.05 | 0.7x | 268 | 46% |
| Buy and hold | -5.8% | -97.9% | 0.37 | -0.06 | 0.6x | 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 52-day average price crosses above the 283-day average
- Sell — Sell (to cash) when the 52-day average falls below the 283-day average