Trend-Following Backtester · Guide · backtest 한국어
equity · US
SELLAS Life Sciences Group, Inc. backtest
10 trend-following strategies were compared on the full daily history of SELLAS Life Sciences Group, Inc.. 10 beat buy-and-hold CAGR; SMA 크로스오버 ranks first by Sharpe, matching the main backtester.
Results by strategy
10 of 10 beat buy and hold (CAGR -43.1%, drawdown -100.0%).
Sharpe leader (same as main): SMA 크로스오버 — CAGR 2.7%, MDD -93.9%, Sharpe 0.39, 32% exposure.
CAGR reference leader: 볼린저 밴드 돌파 — CAGR 5.8%, MDD -91.7%, exposure 23%.
No strategy retained at least 75% of buy-and-hold CAGR while reducing drawdown by both 20% relatively and 5 percentage points absolutely.
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=30, slow=209 |
2.7% | -93.9% | 0.39 | 0.03 | 1.6x | 21 | 32% |
| 볼린저 밴드 돌파 n=13, k=2.2 |
5.8% | -91.7% | 0.36 | 0.06 | 2.8x | 202 | 23% |
| Donchian 채널 돌파 entryN=11, exitN=45 |
-10.6% | -99.6% | 0.34 | -0.11 | 0.1x | 75 | 68% |
| Supertrend period=25, mult=1.6 |
-1.2% | -96.8% | 0.32 | -0.01 | 0.8x | 232 | 35% |
| Parabolic SAR step=0.015, maxStep=0.1 |
-3.6% | -97.6% | 0.31 | -0.04 | 0.5x | 244 | 39% |
| EMA 크로스오버 fast=54, slow=182 |
-1.3% | -95.2% | 0.30 | -0.01 | 0.8x | 19 | 27% |
| MACD fast=5, slow=16, signal=15 |
-7.7% | -99.9% | 0.28 | -0.08 | 0.2x | 442 | 53% |
| ADX / DI 방향성 period=38, threshold=11 |
-11.1% | -99.5% | 0.27 | -0.11 | 0.1x | 107 | 41% |
| ROC 모멘텀 n=80, threshold=0.09 |
-8.4% | -98.6% | 0.25 | -0.09 | 0.2x | 163 | 31% |
| Keltner 채널 돌파 emaPeriod=50, atrPeriod=20, mult=3.3 |
-6.7% | -96.6% | 0.22 | -0.07 | 0.3x | 42 | 15% |
| Buy and hold | -43.1% | -100.0% | 0.07 | -0.43 | 0.0x | 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 30-day average price crosses above the 209-day average
- Sell — Sell (to cash) when the 30-day average falls below the 209-day average