Trend-Following Backtester · Guide · backtest 한국어
equity · US
Zevra Therapeutics, Inc. backtest
10 trend-following strategies were compared on the full daily history of Zevra Therapeutics, Inc.. 10 beat buy-and-hold CAGR; Donchian 채널 돌파 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is Donchian 채널 돌파 (CAGR 4.2%, MDD -26.4%).
Results by strategy
10 of 10 beat buy and hold (CAGR -22.9%, drawdown -99.3%).
Sharpe leader (same as main): Donchian 채널 돌파 — CAGR 4.2%, MDD -26.4%, Sharpe 0.34, 3% exposure.
Return/drawdown alternative: Donchian 채널 돌파 — CAGR is 27.1%p higher than buy and hold, while drawdown improves by 72.8%p (CAGR 4.2%, MDD -26.4%, 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 |
|---|---|---|---|---|---|---|---|
| Donchian 채널 돌파 entryN=100, exitN=1 |
4.2% | -26.4% | 0.34 | 0.16 | 1.6x | 36 | 3% |
| ADX / DI 방향성 period=21, threshold=35 |
3.7% | -30.3% | 0.32 | 0.12 | 1.5x | 6 | 2% |
| Parabolic SAR step=0.05, maxStep=0.32 |
1.5% | -87.3% | 0.29 | 0.02 | 1.2x | 388 | 46% |
| Supertrend period=23, mult=1.8 |
-5.0% | -73.7% | 0.14 | -0.07 | 0.6x | 138 | 37% |
| SMA 크로스오버 fast=47, slow=145 |
-5.8% | -80.0% | 0.12 | -0.07 | 0.5x | 23 | 36% |
| 볼린저 밴드 돌파 n=30, k=0.9 |
-7.1% | -82.8% | 0.10 | -0.09 | 0.4x | 138 | 37% |
| MACD fast=18, slow=24, signal=15 |
-10.4% | -92.2% | 0.09 | -0.11 | 0.3x | 144 | 53% |
| ROC 모멘텀 n=82, threshold=0.03 |
-7.9% | -88.3% | 0.07 | -0.09 | 0.4x | 122 | 38% |
| Keltner 채널 돌파 emaPeriod=12, atrPeriod=17, mult=3.6 |
0.0% | -33.7% | 0.06 | 0.00 | 1.0x | 8 | 2% |
| EMA 크로스오버 fast=36, slow=39 |
-13.6% | -89.8% | -0.01 | -0.15 | 0.2x | 39 | 40% |
| Buy and hold | -22.9% | -99.3% | 0.11 | -0.23 | 0.1x | 1 | 100% |
Rules of the top strategy
A new high means a trend starting; a new low means it’s over (turtle-trading style).
- Buy — Buy on a breakout above the highest high of the last 100 days
- Sell — Sell when price breaks below the lowest low of the last 1 days