Trend-Following Backtester · Guide · backtest 한국어

equity · US

Summit Therapeutics Inc. backtest

10 trend-following strategies were compared on the full daily history of Summit Therapeutics Inc.. 9 beat buy-and-hold CAGR; ROC 모멘텀 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is 볼린저 밴드 돌파 (CAGR 3.4%, MDD -68.5%).

Data 2015-03-05 ~ 2026-07-31daily bars 2,869 (11.4 years)Costs 0.5%Venue XNASMonthly snapshot 2026-07-31

Results by strategy

9 of 10 beat buy and hold (CAGR 2.1%, drawdown -95.7%).

Sharpe leader (same as main): ROC 모멘텀 — CAGR 18.1%, MDD -75.6%, Sharpe 0.50, 46% exposure.

Return/drawdown alternative: 볼린저 밴드 돌파 — CAGR is 16.0%p higher than buy and hold, while drawdown improves by 20.1%p (CAGR 3.4%, MDD -68.5%, exposure 36%).

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 · parametersCAGRMDDSharpeCalmarTotalTradesExposure
ROC 모멘텀
n=140, threshold=0.06
18.1%-75.6%0.500.246.7x11646%
Donchian 채널 돌파
entryN=100, exitN=75
7.7%-75.6%0.470.102.3x1061%
EMA 크로스오버
fast=12, slow=127
14.7%-76.1%0.470.194.8x4047%
SMA 크로스오버
fast=56, slow=166
3.8%-91.7%0.430.041.5x1453%
Supertrend
period=15, mult=3
6.8%-72.6%0.420.092.1x6445%
MACD
fast=17, slow=38, signal=16
3.4%-71.1%0.390.051.5x12251%
볼린저 밴드 돌파
n=37, k=1.1
3.4%-68.5%0.370.051.5x9236%
Parabolic SAR
step=0.01, maxStep=0.3
2.6%-91.3%0.370.031.3x13443%
ADX / DI 방향성
period=30, threshold=28
2.9%-74.7%0.250.041.4x149%
Keltner 채널 돌파
emaPeriod=23, atrPeriod=25, mult=1.6
-3.2%-76.8%0.22-0.040.7x7622%
Buy and hold2.1%-95.7%0.520.021.3x1100%
0.1 1x 10x 2016 2018 2020 2022 2024 2026 ROC 모멘텀Buy and hold
ROC 모멘텀: Solid strategy line versus dashed buy-and-hold line. Log scale.
0% -24% -48% -72% -96% 2016 2018 2020 2022 2024 2026 Buy and holdROC 모멘텀
ROC 모멘텀 maximum drawdown -75.6% (2023-01-04 → 2023-04-28), recovered after 512 days.

Rules of the top strategy

Rides the trend when recent return (momentum) over a window is above a threshold.

Method and caveats

Past performance does not guarantee future returns. Parameters were carried forward from the latest full optimization and replayed on this monthly dataset. 0.5% trading costs are included; taxes, slippage and rejected orders are not.
Re-optimize the same period and setupAll asset reports

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