Trend-Following Backtester · Guide · backtest 한국어
equity · US
C4 Therapeutics, Inc. backtest
10 trend-following strategies were compared on the full daily history of C4 Therapeutics, Inc.. 10 beat buy-and-hold CAGR; ADX / DI 방향성 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is 볼린저 밴드 돌파 (CAGR 19.6%, MDD -48.5%).
Results by strategy
10 of 10 beat buy and hold (CAGR -29.0%, drawdown -97.8%).
Sharpe leader (same as main): ADX / DI 방향성 — CAGR 22.0%, MDD -64.0%, Sharpe 0.54, 29% exposure.
Return/drawdown alternative: 볼린저 밴드 돌파 — CAGR is 51.0%p higher than buy and hold, while drawdown improves by 33.8%p (CAGR 19.6%, MDD -48.5%, 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 |
|---|---|---|---|---|---|---|---|
| ADX / DI 방향성 period=59, threshold=11 |
22.0% | -64.0% | 0.54 | 0.34 | 3.2x | 7 | 29% |
| 볼린저 밴드 돌파 n=42, k=1.9 |
19.6% | -48.5% | 0.51 | 0.40 | 2.8x | 28 | 27% |
| Supertrend period=7, mult=3.1 |
14.7% | -70.2% | 0.49 | 0.21 | 2.2x | 32 | 48% |
| Keltner 채널 돌파 emaPeriod=45, atrPeriod=25, mult=2.4 |
16.8% | -49.3% | 0.47 | 0.34 | 2.5x | 18 | 21% |
| ROC 모멘텀 n=38, threshold=0.03 |
9.8% | -70.5% | 0.42 | 0.14 | 1.7x | 86 | 41% |
| Parabolic SAR step=0.055, maxStep=0.1 |
8.9% | -79.6% | 0.42 | 0.11 | 1.6x | 142 | 43% |
| Donchian 채널 돌파 entryN=13, exitN=41 |
-5.5% | -88.6% | 0.31 | -0.06 | 0.7x | 24 | 57% |
| SMA 크로스오버 fast=55, slow=62 |
1.5% | -63.9% | 0.29 | 0.02 | 1.1x | 33 | 43% |
| EMA 크로스오버 fast=20, slow=48 |
-3.7% | -68.0% | 0.19 | -0.05 | 0.8x | 23 | 41% |
| MACD fast=12, slow=39, signal=6 |
-18.5% | -81.0% | 0.10 | -0.23 | 0.3x | 116 | 51% |
| Buy and hold | -29.0% | -97.8% | 0.17 | -0.30 | 0.1x | 1 | 100% |
Rules of the top strategy
Looks at both the direction and the strength of the trend; holds only in a strong uptrend.
- Buy — Buy when up-direction (+DI) beats down-direction (−DI) and trend strength (ADX, 59-day) is ≥ 11
- Sell — Sell when direction flips or the trend weakens (ADX < 11)