Trend-Following Backtester · Guide · backtest 한국어
equity · US
Cabaletta Bio, Inc. backtest
10 trend-following strategies were compared on the full daily history of Cabaletta Bio, Inc.. 10 beat buy-and-hold CAGR; Keltner 채널 돌파 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is Keltner 채널 돌파 (CAGR 38.1%, MDD -18.1%).
Results by strategy
10 of 10 beat buy and hold (CAGR -17.7%, drawdown -96.6%).
Sharpe leader (same as main): Keltner 채널 돌파 — CAGR 38.1%, MDD -18.1%, Sharpe 1.03, 6% exposure.
Return/drawdown alternative: Keltner 채널 돌파 — CAGR is 55.9%p higher than buy and hold, while drawdown improves by 78.5%p (CAGR 38.1%, MDD -18.1%, exposure 6%).
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 |
|---|---|---|---|---|---|---|---|
| Keltner 채널 돌파 emaPeriod=21, atrPeriod=16, mult=4 |
38.1% | -18.1% | 1.03 | 2.10 | 8.9x | 4 | 6% |
| ADX / DI 방향성 period=14, threshold=49 |
28.7% | -18.1% | 1.02 | 1.58 | 5.5x | 2 | 3% |
| 볼린저 밴드 돌파 n=23, k=3.5 |
33.4% | -44.9% | 0.90 | 0.74 | 7.0x | 8 | 8% |
| SMA 크로스오버 fast=17, slow=49 |
29.8% | -56.3% | 0.72 | 0.53 | 5.8x | 28 | 43% |
| ROC 모멘텀 n=98, threshold=-0.03 |
23.4% | -84.6% | 0.70 | 0.28 | 4.1x | 36 | 49% |
| EMA 크로스오버 fast=37, slow=103 |
22.7% | -78.5% | 0.70 | 0.29 | 4.0x | 8 | 46% |
| Donchian 채널 돌파 entryN=32, exitN=62 |
18.6% | -85.4% | 0.65 | 0.22 | 3.2x | 10 | 54% |
| Supertrend period=24, mult=3.1 |
4.5% | -80.4% | 0.39 | 0.06 | 1.3x | 36 | 38% |
| Parabolic SAR step=0.035, maxStep=0.22 |
-15.0% | -93.9% | 0.25 | -0.16 | 0.3x | 197 | 48% |
| MACD fast=17, slow=44, signal=19 |
-13.3% | -96.4% | 0.21 | -0.14 | 0.4x | 64 | 54% |
| Buy and hold | -17.7% | -96.6% | 0.39 | -0.18 | 0.3x | 1 | 100% |
Rules of the top strategy
Breaking above the channel top (average plus a multiple of volatility) signals an upside breakout.
- Buy — Buy when the close breaks above the 21-day average + 4× volatility (Keltner top)
- Sell — Sell when the close falls back to the 21-day average