Trend-Following Backtester · Guide · backtest 한국어
equity · US
Theravance Biopharma, Inc. backtest
10 trend-following strategies were compared on the full daily history of Theravance Biopharma, Inc.. 9 beat buy-and-hold CAGR; ADX / DI 방향성 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is ADX / DI 방향성 (CAGR 3.2%, MDD -13.6%).
Results by strategy
9 of 10 beat buy and hold (CAGR -2.5%, drawdown -84.1%).
Sharpe leader (same as main): ADX / DI 방향성 — CAGR 3.2%, MDD -13.6%, Sharpe 0.39, 3% exposure.
CAGR reference leader: Parabolic SAR — CAGR 3.2%, MDD -60.5%, exposure 51%.
Return/drawdown alternative: ADX / DI 방향성 — CAGR is 5.8%p higher than buy and hold, while drawdown improves by 70.4%p (CAGR 3.2%, MDD -13.6%, exposure 3%).
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 |
|---|---|---|---|---|---|---|---|
| ADX / DI 방향성 period=39, threshold=35 |
3.2% | -13.6% | 0.39 | 0.24 | 1.5x | 2 | 3% |
| Donchian 채널 돌파 entryN=54, exitN=85 |
2.6% | -68.0% | 0.26 | 0.04 | 1.4x | 15 | 62% |
| Parabolic SAR step=0.015, maxStep=0.12 |
3.2% | -60.5% | 0.26 | 0.05 | 1.5x | 222 | 51% |
| SMA 크로스오버 fast=45, slow=261 |
3.0% | -70.6% | 0.26 | 0.04 | 1.4x | 15 | 43% |
| Supertrend period=10, mult=2 |
2.4% | -74.1% | 0.24 | 0.03 | 1.3x | 125 | 50% |
| 볼린저 밴드 돌파 n=57, k=3.3 |
1.8% | -45.2% | 0.20 | 0.04 | 1.2x | 8 | 9% |
| EMA 크로스오버 fast=60, slow=169 |
0.4% | -77.1% | 0.18 | 0.00 | 1.0x | 15 | 42% |
| Keltner 채널 돌파 emaPeriod=27, atrPeriod=17, mult=3.6 |
1.1% | -30.4% | 0.16 | 0.04 | 1.1x | 12 | 7% |
| ROC 모멘텀 n=110, threshold=0.03 |
-0.9% | -68.1% | 0.14 | -0.01 | 0.9x | 122 | 43% |
| MACD fast=16, slow=59, signal=6 |
-7.6% | -89.1% | -0.05 | -0.09 | 0.4x | 206 | 51% |
| Buy and hold | -2.5% | -84.1% | 0.21 | -0.03 | 0.7x | 1 | 100% |
Rules of the top strategy
Looks at both the direction and the strength of the trend; holds only in a strong uptrend.
- Buy — Buy when up-direction (+DI) beats down-direction (−DI) and trend strength (ADX, 39-day) is ≥ 35
- Sell — Sell when direction flips or the trend weakens (ADX < 35)