Trend-Following Backtester · Guide · backtest 한국어
equity · US
Vanda Pharmaceuticals Inc. backtest
10 trend-following strategies were compared on the full daily history of Vanda Pharmaceuticals Inc.. 10 beat buy-and-hold CAGR; SMA 크로스오버 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is ADX / DI 방향성 (CAGR 12.7%, MDD -59.6%).
Results by strategy
10 of 10 beat buy and hold (CAGR -3.1%, drawdown -98.4%).
Sharpe leader (same as main): SMA 크로스오버 — CAGR 19.0%, MDD -69.8%, Sharpe 0.33, 39% exposure.
Return/drawdown alternative: ADX / DI 방향성 — CAGR is 22.2%p higher than buy and hold, while drawdown improves by 28.6%p (CAGR 12.7%, MDD -59.6%, exposure 14%).
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=63, slow=164 |
19.0% | -69.8% | 0.33 | 0.27 | 34.3x | 28 | 39% |
| EMA 크로스오버 fast=39, slow=77 |
11.6% | -85.2% | 0.28 | 0.14 | 9.4x | 46 | 39% |
| Donchian 채널 돌파 entryN=122, exitN=77 |
11.9% | -82.2% | 0.28 | 0.14 | 9.8x | 26 | 33% |
| ROC 모멘텀 n=128, threshold=0.09 |
10.8% | -81.4% | 0.28 | 0.13 | 7.9x | 120 | 34% |
| Supertrend period=28, mult=2.9 |
10.2% | -85.9% | 0.27 | 0.12 | 7.2x | 132 | 42% |
| 볼린저 밴드 돌파 n=59, k=2.6 |
13.3% | -76.5% | 0.27 | 0.17 | 12.7x | 44 | 19% |
| ADX / DI 방향성 period=29, threshold=23 |
12.7% | -59.6% | 0.27 | 0.21 | 11.3x | 52 | 14% |
| Keltner 채널 돌파 emaPeriod=42, atrPeriod=16, mult=2.3 |
6.8% | -89.3% | 0.23 | 0.08 | 3.8x | 82 | 24% |
| Parabolic SAR step=0.045, maxStep=0.12 |
3.2% | -82.8% | 0.23 | 0.04 | 1.9x | 536 | 47% |
| MACD fast=19, slow=59, signal=18 |
-1.5% | -94.9% | 0.21 | -0.02 | 0.7x | 186 | 55% |
| Buy and hold | -3.1% | -98.4% | 0.27 | -0.03 | 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 63-day average price crosses above the 164-day average
- Sell — Sell (to cash) when the 63-day average falls below the 164-day average