Trend-Following Backtester · Guide · backtest 한국어
equity · US
Sarepta Therapeutics, Inc. backtest
10 trend-following strategies were compared on the full daily history of Sarepta Therapeutics, Inc.. 7 beat buy-and-hold CAGR; SMA 크로스오버 ranks first by Sharpe, matching the main backtester.
Results by strategy
7 of 10 beat buy and hold (CAGR -2.1%, drawdown -98.2%).
Sharpe leader (same as main): SMA 크로스오버 — CAGR 4.2%, MDD -91.5%, Sharpe 0.35, 49% exposure.
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=21, slow=42 |
4.2% | -91.5% | 0.35 | 0.05 | 3.4x | 201 | 49% |
| MACD fast=22, slow=61, signal=17 |
2.8% | -95.7% | 0.34 | 0.03 | 2.3x | 279 | 51% |
| Supertrend period=9, mult=3.6 |
4.1% | -93.4% | 0.33 | 0.04 | 3.3x | 137 | 49% |
| Donchian 채널 돌파 entryN=31, exitN=78 |
-4.2% | -97.2% | 0.29 | -0.04 | 0.3x | 67 | 69% |
| ADX / DI 방향성 period=32, threshold=17 |
2.9% | -85.7% | 0.27 | 0.03 | 2.3x | 140 | 25% |
| ROC 모멘텀 n=117, threshold=0.06 |
0.8% | -96.2% | 0.26 | 0.01 | 1.3x | 271 | 41% |
| 볼린저 밴드 돌파 n=61, k=1.9 |
1.1% | -87.0% | 0.25 | 0.01 | 1.4x | 107 | 29% |
| EMA 크로스오버 fast=43, slow=186 |
-2.1% | -93.9% | 0.24 | -0.02 | 0.5x | 40 | 41% |
| Parabolic SAR step=0.01, maxStep=0.26 |
-2.9% | -97.5% | 0.22 | -0.03 | 0.4x | 347 | 47% |
| Keltner 채널 돌파 emaPeriod=56, atrPeriod=16, mult=2.8 |
-1.3% | -84.1% | 0.19 | -0.02 | 0.7x | 105 | 26% |
| Buy and hold | -2.1% | -98.2% | 0.40 | -0.02 | 0.5x | 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 21-day average price crosses above the 42-day average
- Sell — Sell (to cash) when the 21-day average falls below the 42-day average