Trend-Following Backtester · Guide · backtest 한국어
equity · US
Climb Bio, Inc. backtest
10 trend-following strategies were compared on the full daily history of Climb Bio, Inc.. 9 beat buy-and-hold CAGR; SMA 크로스오버 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is SMA 크로스오버 (CAGR 89.7%, MDD -43.0%).
Results by strategy
9 of 10 beat buy and hold (CAGR -2.9%, drawdown -96.1%).
Sharpe leader (same as main): SMA 크로스오버 — CAGR 89.7%, MDD -43.0%, Sharpe 1.22, 39% exposure.
Return/drawdown alternative: SMA 크로스오버 — CAGR is 92.6%p higher than buy and hold, while drawdown improves by 53.0%p (CAGR 89.7%, MDD -43.0%, exposure 39%).
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 |
|---|---|---|---|---|---|---|---|
| SMA 크로스오버 fast=59, slow=109 |
89.7% | -43.0% | 1.22 | 2.08 | 25.5x | 5 | 39% |
| Donchian 채널 돌파 entryN=38, exitN=75 |
62.0% | -56.9% | 0.98 | 1.09 | 11.5x | 5 | 47% |
| EMA 크로스오버 fast=68, slow=86 |
56.6% | -65.2% | 0.97 | 0.87 | 9.7x | 5 | 34% |
| ROC 모멘텀 n=85, threshold=-0.01 |
59.3% | -60.0% | 0.97 | 0.99 | 10.5x | 39 | 44% |
| Keltner 채널 돌파 emaPeriod=32, atrPeriod=28, mult=2.6 |
43.5% | -44.7% | 0.94 | 0.97 | 6.2x | 12 | 19% |
| 볼린저 밴드 돌파 n=50, k=1.8 |
38.9% | -60.1% | 0.85 | 0.65 | 5.3x | 17 | 28% |
| Supertrend period=9, mult=4.9 |
39.9% | -79.9% | 0.79 | 0.50 | 5.5x | 7 | 43% |
| ADX / DI 방향성 period=26, threshold=16 |
29.0% | -58.3% | 0.73 | 0.50 | 3.6x | 17 | 28% |
| Parabolic SAR step=0.055, maxStep=0.3 |
12.0% | -85.4% | 0.50 | 0.14 | 1.8x | 198 | 48% |
| MACD fast=15, slow=81, signal=37 |
-8.7% | -86.1% | 0.21 | -0.10 | 0.6x | 31 | 58% |
| Buy and hold | -2.9% | -96.1% | 0.50 | -0.03 | 0.9x | 1 | 100% |
Rules of the top strategy
When the short average rises above the long average, it reads that as an uptrend starting.
- Buy — Buy when the 59-day average price crosses above the 109-day average
- Sell — Sell (to cash) when the 59-day average falls below the 109-day average