Trend-Following Backtester · Guide · backtest 한국어
equity · US
Nuvation Bio Inc. backtest
10 trend-following strategies were compared on the full daily history of Nuvation Bio Inc.. 8 beat buy-and-hold CAGR; SMA 크로스오버 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is Donchian 채널 돌파 (CAGR 16.2%, MDD -39.0%).
Results by strategy
8 of 10 beat buy and hold (CAGR -7.0%, drawdown -93.4%).
Sharpe leader (same as main): SMA 크로스오버 — CAGR 20.7%, MDD -65.0%, Sharpe 0.60, 44% exposure.
Return/drawdown alternative: Donchian 채널 돌파 — CAGR is 27.7%p higher than buy and hold, while drawdown improves by 28.4%p (CAGR 16.2%, MDD -39.0%, exposure 15%).
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=50, slow=64 |
20.7% | -65.0% | 0.60 | 0.32 | 3.0x | 33 | 44% |
| Donchian 채널 돌파 entryN=149, exitN=37 |
16.2% | -39.0% | 0.55 | 0.42 | 2.4x | 4 | 15% |
| ADX / DI 방향성 period=43, threshold=11 |
14.4% | -52.2% | 0.50 | 0.28 | 2.2x | 31 | 29% |
| ROC 모멘텀 n=115, threshold=0.14 |
14.1% | -58.8% | 0.50 | 0.24 | 2.2x | 21 | 22% |
| EMA 크로스오버 fast=26, slow=154 |
12.3% | -57.2% | 0.47 | 0.21 | 2.0x | 9 | 30% |
| Keltner 채널 돌파 emaPeriod=52, atrPeriod=15, mult=3.1 |
10.6% | -49.3% | 0.43 | 0.21 | 1.8x | 11 | 16% |
| 볼린저 밴드 돌파 n=55, k=3.5 |
8.4% | -43.1% | 0.38 | 0.19 | 1.6x | 9 | 14% |
| Supertrend period=12, mult=4 |
2.1% | -73.8% | 0.29 | 0.03 | 1.1x | 23 | 41% |
| Parabolic SAR step=0.03, maxStep=0.38 |
-10.0% | -89.8% | 0.06 | -0.11 | 0.5x | 173 | 48% |
| MACD fast=12, slow=55, signal=14 |
-19.9% | -89.4% | -0.15 | -0.22 | 0.3x | 81 | 57% |
| Buy and hold | -7.0% | -93.4% | 0.25 | -0.08 | 0.6x | 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 50-day average price crosses above the 64-day average
- Sell — Sell (to cash) when the 50-day average falls below the 64-day average