Trend-Following Backtester · Guide · backtest 한국어
equity · US
TG Therapeutics, Inc. backtest
10 trend-following strategies were compared on the full daily history of TG Therapeutics, Inc.. 9 beat buy-and-hold CAGR; EMA 크로스오버 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is Keltner 채널 돌파 (CAGR 18.7%, MDD -73.0%).
Results by strategy
9 of 10 beat buy and hold (CAGR -8.4%, drawdown -99.6%).
Sharpe leader (same as main): EMA 크로스오버 — CAGR 18.5%, MDD -78.9%, Sharpe 0.57, 49% exposure.
CAGR reference leader: Keltner 채널 돌파 — CAGR 18.7%, MDD -73.0%, exposure 34%.
Return/drawdown alternative: Keltner 채널 돌파 — CAGR is 26.9%p higher than buy and hold, while drawdown improves by 20.7%p (CAGR 18.7%, MDD -73.0%, exposure 34%).
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 |
|---|---|---|---|---|---|---|---|
| EMA 크로스오버 fast=8, slow=123 |
18.5% | -78.9% | 0.57 | 0.23 | 16.1x | 37 | 49% |
| Keltner 채널 돌파 emaPeriod=55, atrPeriod=23, mult=1.7 |
18.7% | -73.0% | 0.56 | 0.26 | 16.4x | 81 | 34% |
| Donchian 채널 돌파 entryN=55, exitN=83 |
15.3% | -89.5% | 0.54 | 0.17 | 10.2x | 23 | 57% |
| 볼린저 밴드 돌파 n=85, k=1.6 |
17.1% | -83.1% | 0.53 | 0.21 | 13.2x | 39 | 37% |
| SMA 크로스오버 fast=37, slow=181 |
14.6% | -75.8% | 0.52 | 0.19 | 9.3x | 21 | 51% |
| ROC 모멘텀 n=113, threshold=0.11 |
13.5% | -86.8% | 0.49 | 0.16 | 7.9x | 87 | 46% |
| MACD fast=31, slow=73, signal=40 |
8.2% | -98.6% | 0.46 | 0.08 | 3.6x | 86 | 51% |
| ADX / DI 방향성 period=28, threshold=12 |
7.9% | -99.5% | 0.45 | 0.08 | 3.4x | 133 | 52% |
| Supertrend period=15, mult=5 |
14.0% | -98.8% | 0.40 | 0.14 | 8.5x | 43 | 55% |
| Parabolic SAR step=0.015, maxStep=0.16 |
-13.8% | -99.3% | 0.17 | -0.14 | 0.1x | 257 | 45% |
| Buy and hold | -8.4% | -99.6% | 0.51 | -0.08 | 0.2x | 1 | 100% |
Rules of the top strategy
Uses two exponential averages (more weight on recent prices) and trades their crossover.
- Buy — Buy when the 8-day EMA crosses above the 123-day EMA
- Sell — Sell when the 8-day EMA falls below the 123-day EMA