Trend-Following Backtester · Guide · backtest 한국어
equity · US
Allogene Therapeutics, Inc. backtest
10 trend-following strategies were compared on the full daily history of Allogene Therapeutics, Inc.. 10 beat buy-and-hold CAGR; 볼린저 밴드 돌파 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is 볼린저 밴드 돌파 (CAGR 2.8%, MDD -10.9%).
Results by strategy
10 of 10 beat buy and hold (CAGR -28.3%, drawdown -98.2%).
Sharpe leader (same as main): 볼린저 밴드 돌파 — CAGR 2.8%, MDD -10.9%, Sharpe 0.40, 1% exposure.
CAGR reference leader: ADX / DI 방향성 — CAGR 4.1%, MDD -55.3%, exposure 13%.
Return/drawdown alternative: 볼린저 밴드 돌파 — CAGR is 31.1%p higher than buy and hold, while drawdown improves by 87.3%p (CAGR 2.8%, MDD -10.9%, exposure 1%).
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 |
|---|---|---|---|---|---|---|---|
| 볼린저 밴드 돌파 n=13, k=3.2 |
2.8% | -10.9% | 0.40 | 0.26 | 1.2x | 2 | 1% |
| ADX / DI 방향성 period=24, threshold=21 |
4.1% | -55.3% | 0.28 | 0.07 | 1.4x | 16 | 13% |
| Keltner 채널 돌파 emaPeriod=67, atrPeriod=21, mult=3.4 |
2.4% | -34.4% | 0.22 | 0.07 | 1.2x | 8 | 10% |
| Donchian 채널 돌파 entryN=105, exitN=21 |
1.1% | -39.5% | 0.19 | 0.03 | 1.1x | 10 | 12% |
| Supertrend period=21, mult=1.6 |
-5.6% | -66.9% | 0.13 | -0.08 | 0.6x | 107 | 37% |
| EMA 크로스오버 fast=40, slow=242 |
-2.4% | -53.3% | 0.08 | -0.05 | 0.8x | 9 | 19% |
| SMA 크로스오버 fast=33, slow=139 |
-5.5% | -79.1% | 0.07 | -0.07 | 0.6x | 18 | 29% |
| ROC 모멘텀 n=69, threshold=0.05 |
-7.7% | -79.9% | 0.02 | -0.10 | 0.5x | 82 | 28% |
| MACD fast=11, slow=46, signal=4 |
-21.9% | -92.4% | -0.16 | -0.24 | 0.1x | 195 | 49% |
| Parabolic SAR step=0.015, maxStep=0.12 |
-25.8% | -90.6% | -0.30 | -0.28 | 0.1x | 143 | 42% |
| Buy and hold | -28.3% | -98.2% | -0.04 | -0.29 | 0.1x | 1 | 100% |
Rules of the top strategy
Breaking above the upper band (average plus a multiple of volatility) signals a strong move up.
- Buy — Buy when the close breaks above the upper band of the 13-day average (3.2× volatility)
- Sell — Sell when the close falls back to the 13-day middle average