Trend-Following Backtester · Guide · backtest 한국어
equity · US
Crinetics Pharmaceuticals, Inc. backtest
10 trend-following strategies were compared on the full daily history of Crinetics Pharmaceuticals, Inc.. 0 beat buy-and-hold CAGR; MACD ranks first by Sharpe, matching the main backtester.
Results by strategy
0 of 10 beat buy and hold (CAGR 16.4%, drawdown -68.7%).
Sharpe leader (same as main): MACD — CAGR 7.7%, MDD -72.1%, Sharpe 0.37, 53% exposure.
No strategy retained at least 75% of buy-and-hold CAGR while reducing drawdown by both 20% relatively and 5 percentage points absolutely.
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 |
|---|---|---|---|---|---|---|---|
| MACD fast=17, slow=30, signal=18 |
7.7% | -72.1% | 0.37 | 0.11 | 1.8x | 91 | 53% |
| Donchian 채널 돌파 entryN=21, exitN=23 |
6.0% | -67.1% | 0.34 | 0.09 | 1.6x | 33 | 51% |
| ADX / DI 방향성 period=35, threshold=14 |
6.0% | -53.6% | 0.34 | 0.11 | 1.6x | 33 | 32% |
| Keltner 채널 돌파 emaPeriod=58, atrPeriod=36, mult=2.3 |
4.9% | -66.0% | 0.28 | 0.07 | 1.5x | 29 | 28% |
| EMA 크로스오버 fast=8, slow=49 |
2.6% | -75.9% | 0.27 | 0.03 | 1.2x | 57 | 49% |
| Parabolic SAR step=0.02, maxStep=0.2 |
1.8% | -76.1% | 0.27 | 0.02 | 1.2x | 177 | 53% |
| 볼린저 밴드 돌파 n=25, k=3.2 |
5.1% | -35.8% | 0.26 | 0.14 | 1.5x | 15 | 7% |
| Supertrend period=15, mult=2.9 |
1.1% | -72.0% | 0.25 | 0.02 | 1.1x | 47 | 50% |
| ROC 모멘텀 n=72, threshold=-0.01 |
0.2% | -83.2% | 0.23 | 0.00 | 1.0x | 109 | 54% |
| SMA 크로스오버 fast=49, slow=123 |
-6.7% | -70.2% | 0.02 | -0.10 | 0.6x | 19 | 48% |
| Buy and hold | 16.4% | -68.7% | 0.53 | 0.24 | 3.4x | 1 | 100% |
Rules of the top strategy
Looks at the gap (MACD) between a short and long average crossing its own signal line.
- Buy — Buy when the MACD line (17/30) crosses above its 18-day signal line
- Sell — Sell when the MACD line crosses back below the signal line