Trend-Following Backtester · Guide · backtest 한국어
equity · US
CRISPR Therapeutics AG backtest
10 trend-following strategies were compared on the full daily history of CRISPR Therapeutics AG. 2 beat buy-and-hold CAGR; MACD ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is MACD (CAGR 17.9%, MDD -52.5%).
Results by strategy
2 of 10 beat buy and hold (CAGR 15.2%, drawdown -85.1%).
Sharpe leader (same as main): MACD — CAGR 17.9%, MDD -52.5%, Sharpe 0.58, 48% exposure.
Return/drawdown alternative: MACD — CAGR is 2.7%p higher than buy and hold, while drawdown improves by 32.6%p (CAGR 17.9%, MDD -52.5%, 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 |
|---|---|---|---|---|---|---|---|
| MACD fast=17, slow=56, signal=18 |
17.9% | -52.5% | 0.58 | 0.34 | 5.1x | 89 | 48% |
| Parabolic SAR step=0.03, maxStep=0.26 |
16.0% | -70.2% | 0.55 | 0.23 | 4.3x | 271 | 48% |
| Donchian 채널 돌파 entryN=72, exitN=17 |
13.5% | -54.7% | 0.53 | 0.25 | 3.5x | 26 | 26% |
| SMA 크로스오버 fast=12, slow=131 |
13.9% | -63.2% | 0.52 | 0.22 | 3.6x | 29 | 44% |
| ADX / DI 방향성 period=25, threshold=20 |
10.4% | -36.9% | 0.47 | 0.28 | 2.7x | 34 | 21% |
| 볼린저 밴드 돌파 n=19, k=3.1 |
8.9% | -31.6% | 0.47 | 0.28 | 2.3x | 26 | 11% |
| Supertrend period=19, mult=3 |
7.1% | -82.8% | 0.38 | 0.09 | 2.0x | 63 | 45% |
| EMA 크로스오버 fast=26, slow=84 |
6.2% | -73.9% | 0.35 | 0.08 | 1.8x | 27 | 45% |
| Keltner 채널 돌파 emaPeriod=37, atrPeriod=15, mult=3.3 |
4.7% | -62.2% | 0.30 | 0.08 | 1.6x | 26 | 16% |
| ROC 모멘텀 n=147, threshold=0 |
1.4% | -84.0% | 0.25 | 0.02 | 1.2x | 95 | 49% |
| Buy and hold | 15.2% | -85.1% | 0.54 | 0.18 | 4.0x | 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 (17/56) crosses above its 18-day signal line
- Sell — Sell when the MACD line crosses back below the signal line