Trend-Following Backtester · Guide · backtest 한국어
equity · HK
Keymed Biosciences, Inc. backtest
10 trend-following strategies were compared on the full daily history of Keymed Biosciences, Inc.. 10 beat buy-and-hold CAGR; Donchian 채널 돌파 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is ADX / DI 방향성 (CAGR 3.4%, MDD -11.0%).
Results by strategy
10 of 10 beat buy and hold (CAGR 1.8%, drawdown -74.7%).
Sharpe leader (same as main): Donchian 채널 돌파 — CAGR 23.3%, MDD -42.8%, Sharpe 0.76, 38% exposure.
Return/drawdown alternative: ADX / DI 방향성 — CAGR is 21.5%p higher than buy and hold, while drawdown improves by 31.9%p (CAGR 3.4%, MDD -11.0%, 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=47, exitN=21 |
23.3% | -42.8% | 0.76 | 0.54 | 2.9x | 11 | 38% |
| 볼린저 밴드 돌파 n=19, k=3 |
11.5% | -14.8% | 0.72 | 0.78 | 1.7x | 8 | 8% |
| ROC 모멘텀 n=69, threshold=-0.01 |
21.4% | -44.3% | 0.68 | 0.48 | 2.7x | 41 | 52% |
| MACD fast=7, slow=23, signal=14 |
20.9% | -63.2% | 0.66 | 0.33 | 2.7x | 96 | 49% |
| EMA 크로스오버 fast=16, slow=103 |
16.3% | -47.4% | 0.58 | 0.34 | 2.2x | 13 | 48% |
| Keltner 채널 돌파 emaPeriod=86, atrPeriod=27, mult=1.5 |
15.2% | -56.7% | 0.57 | 0.27 | 2.1x | 19 | 40% |
| SMA 크로스오버 fast=42, slow=63 |
15.8% | -49.2% | 0.57 | 0.32 | 2.1x | 15 | 50% |
| Supertrend period=16, mult=2.4 |
12.7% | -56.0% | 0.50 | 0.23 | 1.9x | 36 | 50% |
| Parabolic SAR step=0.04, maxStep=0.1 |
11.5% | -49.6% | 0.47 | 0.23 | 1.7x | 129 | 50% |
| ADX / DI 방향성 period=25, threshold=30 |
3.4% | -11.0% | 0.34 | 0.30 | 1.2x | 2 | 3% |
| Buy and hold | 1.8% | -74.7% | 0.35 | 0.02 | 1.1x | 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 47 days
- Sell — Sell when price breaks below the lowest low of the last 21 days