Trend-Following Backtester · Guide · backtest 한국어
equity · US
Celcuity Inc. backtest
10 trend-following strategies were compared on the full daily history of Celcuity Inc.. 6 beat buy-and-hold CAGR; Donchian 채널 돌파 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is SMA 크로스오버 (CAGR 46.0%, MDD -43.5%).
Results by strategy
6 of 10 beat buy and hold (CAGR 22.4%, drawdown -85.6%).
Sharpe leader (same as main): Donchian 채널 돌파 — CAGR 46.5%, MDD -64.6%, Sharpe 0.77, 53% exposure.
Return/drawdown alternative: SMA 크로스오버 — CAGR is 24.1%p higher than buy and hold, while drawdown improves by 21.0%p (CAGR 46.0%, MDD -43.5%, exposure 48%).
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 |
|---|---|---|---|---|---|---|---|
| Donchian 채널 돌파 entryN=39, exitN=56 |
46.5% | -64.6% | 0.77 | 0.72 | 29.5x | 12 | 53% |
| SMA 크로스오버 fast=55, slow=91 |
46.0% | -43.5% | 0.76 | 1.06 | 28.5x | 22 | 48% |
| Keltner 채널 돌파 emaPeriod=57, atrPeriod=20, mult=1.2 |
41.7% | -50.3% | 0.72 | 0.83 | 21.9x | 40 | 39% |
| ROC 모멘텀 n=145, threshold=-0.02 |
37.3% | -64.8% | 0.68 | 0.58 | 16.6x | 58 | 51% |
| EMA 크로스오버 fast=51, slow=86 |
34.2% | -56.3% | 0.65 | 0.61 | 13.5x | 20 | 47% |
| 볼린저 밴드 돌파 n=29, k=3.5 |
15.0% | -30.0% | 0.65 | 0.50 | 3.4x | 14 | 9% |
| ADX / DI 방향성 period=29, threshold=25 |
15.7% | -37.7% | 0.62 | 0.42 | 3.7x | 20 | 18% |
| Supertrend period=13, mult=3.3 |
30.7% | -64.7% | 0.62 | 0.47 | 10.7x | 34 | 45% |
| Parabolic SAR step=0.025, maxStep=0.14 |
17.3% | -82.2% | 0.47 | 0.21 | 4.1x | 208 | 50% |
| MACD fast=17, slow=49, signal=18 |
12.2% | -72.6% | 0.41 | 0.17 | 2.8x | 88 | 49% |
| Buy and hold | 22.4% | -85.6% | 0.58 | 0.26 | 6.0x | 1 | 100% |
Rules of the top strategy
A new high means a trend starting; a new low means it’s over (turtle-trading style).
- Buy — Buy on a breakout above the highest high of the last 39 days
- Sell — Sell when price breaks below the lowest low of the last 56 days