Trend-Following Backtester · Guide · backtest 한국어
equity · US
Pfizer, Inc. backtest
10 trend-following strategies were compared on the full daily history of Pfizer, Inc.. 0 beat buy-and-hold CAGR; SMA 크로스오버 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is SMA 크로스오버 (CAGR 5.9%, MDD -53.2%).
Results by strategy
0 of 10 beat buy and hold (CAGR 6.5%, drawdown -76.7%).
Sharpe leader (same as main): SMA 크로스오버 — CAGR 5.9%, MDD -53.2%, Sharpe 0.39, 59% exposure.
Return/drawdown alternative: SMA 크로스오버 — CAGR is 0.6%p lower than buy and hold, while drawdown improves by 23.5%p (CAGR 5.9%, MDD -53.2%, exposure 59%).
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=73, slow=224 |
5.9% | -53.2% | 0.39 | 0.11 | 22.5x | 58 | 59% |
| EMA 크로스오버 fast=31, slow=205 |
4.4% | -69.7% | 0.32 | 0.06 | 10.5x | 92 | 58% |
| Donchian 채널 돌파 entryN=70, exitN=71 |
2.9% | -65.8% | 0.25 | 0.04 | 4.7x | 98 | 56% |
| ROC 모멘텀 n=196, threshold=-0.02 |
1.2% | -78.9% | 0.16 | 0.01 | 1.9x | 411 | 63% |
| Supertrend period=28, mult=5 |
0.8% | -73.6% | 0.14 | 0.01 | 1.5x | 172 | 54% |
| Keltner 채널 돌파 emaPeriod=85, atrPeriod=17, mult=2.2 |
0.6% | -64.0% | 0.12 | 0.01 | 1.4x | 222 | 41% |
| 볼린저 밴드 돌파 n=58, k=2.2 |
-0.9% | -55.1% | 0.01 | -0.02 | 0.6x | 188 | 30% |
| ADX / DI 방향성 period=39, threshold=12 |
-1.3% | -74.5% | -0.01 | -0.02 | 0.5x | 358 | 34% |
| Parabolic SAR step=0.015, maxStep=0.02 |
-2.6% | -92.9% | -0.04 | -0.03 | 0.2x | 356 | 55% |
| MACD fast=22, slow=36, signal=31 |
-3.4% | -91.9% | -0.09 | -0.04 | 0.2x | 515 | 51% |
| Buy and hold | 6.5% | -76.7% | 0.37 | 0.08 | 30.5x | 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 73-day average price crosses above the 224-day average
- Sell — Sell (to cash) when the 73-day average falls below the 224-day average