Trend-Following Backtester · Guide · backtest 한국어
equity · US
Crescent Biopharma, Inc. backtest
10 trend-following strategies were compared on the full daily history of Crescent Biopharma, Inc.. 10 beat buy-and-hold CAGR; Supertrend ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is Keltner 채널 돌파 (CAGR 7.3%, MDD -44.4%).
Results by strategy
10 of 10 beat buy and hold (CAGR -28.1%, drawdown -99.6%).
Sharpe leader (same as main): Supertrend — CAGR 14.6%, MDD -71.7%, Sharpe 0.46, 39% exposure.
Return/drawdown alternative: Keltner 채널 돌파 — CAGR is 42.7%p higher than buy and hold, while drawdown improves by 27.9%p (CAGR 7.3%, MDD -44.4%, exposure 4%).
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=11, mult=2.3 |
14.6% | -71.7% | 0.46 | 0.20 | 5.5x | 90 | 39% |
| MACD fast=17, slow=51, signal=23 |
10.3% | -75.5% | 0.43 | 0.14 | 3.4x | 108 | 50% |
| 볼린저 밴드 돌파 n=25, k=2.1 |
11.7% | -67.2% | 0.42 | 0.17 | 4.0x | 80 | 22% |
| SMA 크로스오버 fast=11, slow=39 |
9.9% | -71.6% | 0.41 | 0.14 | 3.3x | 86 | 42% |
| Keltner 채널 돌파 emaPeriod=19, atrPeriod=23, mult=4 |
7.3% | -44.4% | 0.41 | 0.17 | 2.4x | 10 | 4% |
| EMA 크로스오버 fast=12, slow=28 |
8.8% | -76.9% | 0.40 | 0.11 | 2.9x | 84 | 40% |
| ADX / DI 방향성 period=33, threshold=15 |
10.3% | -65.3% | 0.39 | 0.16 | 3.4x | 56 | 21% |
| ROC 모멘텀 n=29, threshold=-0.04 |
4.7% | -78.6% | 0.37 | 0.06 | 1.8x | 246 | 50% |
| Donchian 채널 돌파 entryN=94, exitN=8 |
4.7% | -62.7% | 0.34 | 0.08 | 1.8x | 18 | 9% |
| Parabolic SAR step=0.01, maxStep=0.26 |
-4.6% | -80.6% | 0.24 | -0.06 | 0.6x | 158 | 43% |
| Buy and hold | -28.1% | -99.6% | 0.16 | -0.28 | 0.0x | 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) — 11-day volatility, 2.3× band
- Sell — Sell when price drops below the trend line (flips down)