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 6.8%, 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 0.9%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 |
4.5% | -69.7% | 0.32 | 0.06 | 11.0x | 93 | 58% |
| Donchian 채널 돌파 entryN=70, exitN=71 |
3.0% | -65.8% | 0.25 | 0.05 | 4.9x | 99 | 56% |
| ROC 모멘텀 n=196, threshold=-0.02 |
1.4% | -78.9% | 0.17 | 0.02 | 2.1x | 411 | 63% |
| Supertrend period=28, mult=5 |
0.9% | -73.6% | 0.14 | 0.01 | 1.6x | 173 | 54% |
| Keltner 채널 돌파 emaPeriod=85, atrPeriod=17, mult=2.2 |
0.7% | -64.0% | 0.13 | 0.01 | 1.5x | 223 | 41% |
| 볼린저 밴드 돌파 n=58, k=2.2 |
-0.8% | -55.1% | 0.01 | -0.01 | 0.6x | 189 | 30% |
| ADX / DI 방향성 period=39, threshold=12 |
-1.3% | -74.5% | -0.01 | -0.02 | 0.5x | 359 | 34% |
| Parabolic SAR step=0.015, maxStep=0.02 |
-2.4% | -92.9% | -0.03 | -0.03 | 0.3x | 357 | 55% |
| MACD fast=22, slow=36, signal=31 |
-3.2% | -91.9% | -0.08 | -0.03 | 0.2x | 515 | 51% |
| Buy and hold | 6.8% | -76.7% | 0.38 | 0.09 | 34.7x | 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