Trend-Following Backtester · Guide · backtest 한국어
equity · US
Beam Therapeutics Inc. backtest
10 trend-following strategies were compared on the full daily history of Beam Therapeutics Inc.. 5 beat buy-and-hold CAGR; Supertrend ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is 볼린저 밴드 돌파 (CAGR 7.6%, MDD -58.8%).
Results by strategy
5 of 10 beat buy and hold (CAGR 7.0%, drawdown -89.1%).
Sharpe leader (same as main): Supertrend — CAGR 17.1%, MDD -71.6%, Sharpe 0.56, 33% exposure.
Return/drawdown alternative: 볼린저 밴드 돌파 — CAGR is 10.1%p higher than buy and hold, while drawdown improves by 17.5%p (CAGR 7.6%, MDD -58.8%, exposure 27%).
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 |
|---|---|---|---|---|---|---|---|
| Supertrend period=27, mult=4 |
17.1% | -71.6% | 0.56 | 0.24 | 2.8x | 24 | 33% |
| SMA 크로스오버 fast=57, slow=118 |
14.2% | -74.9% | 0.51 | 0.19 | 2.4x | 15 | 46% |
| MACD fast=17, slow=48, signal=14 |
12.8% | -76.8% | 0.49 | 0.17 | 2.2x | 81 | 51% |
| EMA 크로스오버 fast=58, slow=131 |
10.7% | -77.0% | 0.45 | 0.14 | 1.9x | 7 | 41% |
| ADX / DI 방향성 period=34, threshold=35 |
4.5% | -20.6% | 0.39 | 0.22 | 1.3x | 2 | 2% |
| 볼린저 밴드 돌파 n=27, k=1.9 |
7.6% | -58.8% | 0.38 | 0.13 | 1.6x | 49 | 27% |
| Donchian 채널 돌파 entryN=106, exitN=7 |
5.9% | -57.2% | 0.34 | 0.10 | 1.5x | 14 | 9% |
| Keltner 채널 돌파 emaPeriod=26, atrPeriod=24, mult=1.9 |
5.4% | -61.3% | 0.33 | 0.09 | 1.4x | 40 | 23% |
| ROC 모멘텀 n=123, threshold=-0.04 |
1.9% | -83.2% | 0.31 | 0.02 | 1.1x | 69 | 47% |
| Parabolic SAR step=0.045, maxStep=0.08 |
-3.0% | -84.4% | 0.23 | -0.04 | 0.8x | 149 | 46% |
| Buy and hold | 7.0% | -89.1% | 0.48 | 0.08 | 1.6x | 1 | 100% |
Rules of the top strategy
Trades the direction of a volatility-based trend line that trails below/above price.
- Buy — Buy when price moves above the trend line (flips up) — 27-day volatility, 4× band
- Sell — Sell when price drops below the trend line (flips down)