Trend-Following Backtester · Guide · backtest 한국어
equity · US
Viking Therapeutics, Inc. backtest
10 trend-following strategies were compared on the full daily history of Viking Therapeutics, Inc.. 8 beat buy-and-hold CAGR; SMA 크로스오버 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is SMA 크로스오버 (CAGR 35.4%, MDD -65.0%).
Results by strategy
8 of 10 beat buy and hold (CAGR 13.0%, drawdown -90.4%).
Sharpe leader (same as main): SMA 크로스오버 — CAGR 35.4%, MDD -65.0%, Sharpe 0.70, 45% exposure.
Return/drawdown alternative: SMA 크로스오버 — CAGR is 22.5%p higher than buy and hold, while drawdown improves by 25.4%p (CAGR 35.4%, MDD -65.0%, exposure 45%).
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=10, slow=57 |
35.4% | -65.0% | 0.70 | 0.55 | 30.4x | 69 | 45% |
| EMA 크로스오버 fast=12, slow=56 |
32.9% | -75.2% | 0.67 | 0.44 | 24.6x | 53 | 42% |
| ROC 모멘텀 n=131, threshold=0.19 |
29.5% | -70.5% | 0.63 | 0.42 | 18.4x | 44 | 30% |
| ADX / DI 방향성 period=21, threshold=12 |
24.6% | -77.5% | 0.59 | 0.32 | 11.9x | 120 | 48% |
| Donchian 채널 돌파 entryN=44, exitN=38 |
23.8% | -78.1% | 0.58 | 0.31 | 11.1x | 29 | 40% |
| Supertrend period=18, mult=3.6 |
23.4% | -74.6% | 0.58 | 0.31 | 10.7x | 44 | 43% |
| 볼린저 밴드 돌파 n=37, k=3.5 |
20.6% | -65.3% | 0.57 | 0.32 | 8.2x | 20 | 16% |
| Keltner 채널 돌파 emaPeriod=45, atrPeriod=16, mult=1.4 |
20.2% | -76.3% | 0.54 | 0.26 | 7.9x | 66 | 32% |
| MACD fast=15, slow=33, signal=14 |
0.0% | -88.4% | 0.32 | 0.00 | 1.0x | 158 | 51% |
| Parabolic SAR step=0.035, maxStep=0.36 |
-1.6% | -87.4% | 0.28 | -0.02 | 0.8x | 326 | 46% |
| Buy and hold | 13.0% | -90.4% | 0.54 | 0.14 | 3.9x | 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 10-day average price crosses above the 57-day average
- Sell — Sell (to cash) when the 10-day average falls below the 57-day average