Trend-Following Backtester · Guide · backtest 한국어
equity · US
Assembly Biosciences, Inc. backtest
10 trend-following strategies were compared on the full daily history of Assembly Biosciences, Inc.. 8 beat buy-and-hold CAGR; SMA 크로스오버 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is 볼린저 밴드 돌파 (CAGR 4.9%, MDD -33.6%).
Results by strategy
8 of 10 beat buy and hold (CAGR -16.0%, drawdown -99.4%).
Sharpe leader (same as main): SMA 크로스오버 — CAGR 9.7%, MDD -87.6%, Sharpe 0.47, 41% exposure.
Return/drawdown alternative: 볼린저 밴드 돌파 — CAGR is 25.7%p higher than buy and hold, while drawdown improves by 11.7%p (CAGR 4.9%, MDD -33.6%, exposure 7%).
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=30, slow=159 |
9.7% | -87.6% | 0.47 | 0.11 | 4.2x | 22 | 41% |
| Supertrend period=20, mult=4 |
8.7% | -82.5% | 0.43 | 0.11 | 3.7x | 47 | 41% |
| ROC 모멘텀 n=69, threshold=0.08 |
6.9% | -82.1% | 0.39 | 0.08 | 2.8x | 134 | 38% |
| EMA 크로스오버 fast=14, slow=65 |
3.8% | -88.8% | 0.35 | 0.04 | 1.8x | 58 | 44% |
| 볼린저 밴드 돌파 n=27, k=3.5 |
4.9% | -33.6% | 0.34 | 0.15 | 2.1x | 20 | 7% |
| ADX / DI 방향성 period=11, threshold=35 |
5.4% | -61.2% | 0.33 | 0.09 | 2.3x | 74 | 13% |
| Keltner 채널 돌파 emaPeriod=19, atrPeriod=25, mult=2.1 |
5.3% | -72.4% | 0.32 | 0.07 | 2.3x | 62 | 16% |
| Donchian 채널 돌파 entryN=80, exitN=50 |
1.8% | -88.3% | 0.30 | 0.02 | 1.3x | 22 | 37% |
| Parabolic SAR step=0.04, maxStep=0.2 |
-18.0% | -99.1% | -0.03 | -0.18 | 0.0x | 482 | 47% |
| MACD fast=8, slow=44, signal=4 |
-24.0% | -99.7% | -0.14 | -0.24 | 0.0x | 436 | 53% |
| Buy and hold | -16.0% | -99.4% | 0.16 | -0.16 | 0.1x | 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 30-day average price crosses above the 159-day average
- Sell — Sell (to cash) when the 30-day average falls below the 159-day average