Trend-Following Backtester · Guide · backtest 한국어
equity · US
Biomea Fusion, Inc. backtest
10 trend-following strategies were compared on the full daily history of Biomea Fusion, Inc.. 10 beat buy-and-hold CAGR; 볼린저 밴드 돌파 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is Donchian 채널 돌파 (CAGR 17.1%, MDD -54.1%).
Results by strategy
10 of 10 beat buy and hold (CAGR -40.8%, drawdown -97.7%).
Sharpe leader (same as main): 볼린저 밴드 돌파 — CAGR 30.6%, MDD -60.1%, Sharpe 0.69, 26% exposure.
Return/drawdown alternative: Donchian 채널 돌파 — CAGR is 71.4%p higher than buy and hold, while drawdown improves by 37.6%p (CAGR 17.1%, MDD -54.1%, exposure 17%).
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=48, k=1.7 |
30.6% | -60.1% | 0.69 | 0.51 | 4.1x | 18 | 26% |
| Supertrend period=24, mult=2.6 |
23.3% | -56.2% | 0.61 | 0.42 | 3.0x | 32 | 30% |
| ROC 모멘텀 n=27, threshold=0.09 |
18.5% | -78.7% | 0.56 | 0.24 | 2.5x | 68 | 31% |
| Donchian 채널 돌파 entryN=81, exitN=12 |
17.1% | -54.1% | 0.51 | 0.32 | 2.3x | 8 | 17% |
| ADX / DI 방향성 period=10, threshold=20 |
7.2% | -72.4% | 0.43 | 0.10 | 1.4x | 86 | 39% |
| EMA 크로스오버 fast=23, slow=58 |
9.1% | -75.9% | 0.41 | 0.12 | 1.6x | 14 | 28% |
| Parabolic SAR step=0.005, maxStep=0.3 |
5.2% | -76.3% | 0.41 | 0.07 | 1.3x | 38 | 38% |
| SMA 크로스오버 fast=7, slow=86 |
5.8% | -83.1% | 0.40 | 0.07 | 1.3x | 16 | 31% |
| Keltner 채널 돌파 emaPeriod=41, atrPeriod=26, mult=1.9 |
4.5% | -75.1% | 0.35 | 0.06 | 1.3x | 20 | 20% |
| MACD fast=16, slow=50, signal=13 |
-15.4% | -84.3% | 0.27 | -0.18 | 0.4x | 62 | 54% |
| Buy and hold | -40.8% | -97.7% | 0.05 | -0.42 | 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 48-day average (1.7× volatility)
- Sell — Sell when the close falls back to the 48-day middle average