Trend-Following Backtester · Guide · backtest 한국어
equity · US
Wave Life Sciences Ltd. backtest
10 trend-following strategies were compared on the full daily history of Wave Life Sciences Ltd.. 8 beat buy-and-hold CAGR; Supertrend ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is ADX / DI 방향성 (CAGR 0.3%, MDD -21.8%).
Results by strategy
8 of 10 beat buy and hold (CAGR -9.5%, drawdown -97.8%).
Sharpe leader (same as main): Supertrend — CAGR 10.4%, MDD -73.6%, Sharpe 0.47, 53% exposure.
Return/drawdown alternative: ADX / DI 방향성 — CAGR is 20.0%p higher than buy and hold, while drawdown improves by 24.2%p (CAGR 0.3%, MDD -21.8%, exposure 1%).
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 |
|---|---|---|---|---|---|---|---|
| Supertrend period=5, mult=5 |
10.4% | -73.6% | 0.47 | 0.14 | 2.9x | 28 | 53% |
| Donchian 채널 돌파 entryN=10, exitN=42 |
0.2% | -92.7% | 0.38 | 0.00 | 1.0x | 55 | 73% |
| ROC 모멘텀 n=59, threshold=0 |
3.8% | -89.6% | 0.37 | 0.04 | 1.5x | 120 | 46% |
| 볼린저 밴드 돌파 n=14, k=3 |
7.3% | -46.0% | 0.35 | 0.16 | 2.1x | 20 | 6% |
| MACD fast=7, slow=33, signal=17 |
-5.7% | -88.7% | 0.26 | -0.06 | 0.5x | 185 | 53% |
| SMA 크로스오버 fast=47, slow=166 |
-7.4% | -94.4% | 0.25 | -0.08 | 0.4x | 22 | 46% |
| Keltner 채널 돌파 emaPeriod=11, atrPeriod=10, mult=3.4 |
3.3% | -27.1% | 0.22 | 0.12 | 1.4x | 4 | 2% |
| Parabolic SAR step=0.02, maxStep=0.28 |
-10.4% | -94.7% | 0.19 | -0.11 | 0.3x | 232 | 48% |
| ADX / DI 방향성 period=27, threshold=41 |
0.3% | -21.8% | 0.08 | 0.02 | 1.0x | 2 | 1% |
| EMA 크로스오버 fast=48, slow=86 |
-15.2% | -96.3% | 0.06 | -0.16 | 0.2x | 24 | 45% |
| Buy and hold | -9.5% | -97.8% | 0.35 | -0.10 | 0.3x | 1 | 100% |
Rules of the top strategy
Trades the direction of a volatility-based trend line that trails below/above price.
- Buy — Buy when price moves above the trend line (flips up) — 5-day volatility, 5× band
- Sell — Sell when price drops below the trend line (flips down)