Trend-Following Backtester · Guide · backtest 한국어
equity · US
Cue Biopharma, Inc. backtest
10 trend-following strategies were compared on the full daily history of Cue Biopharma, Inc.. 9 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 6.5%, MDD -51.9%).
Results by strategy
9 of 10 beat buy and hold (CAGR -25.9%, drawdown -99.4%).
Sharpe leader (same as main): ADX / DI 방향성 — CAGR 16.0%, MDD -54.8%, Sharpe 0.49, 15% exposure.
Return/drawdown alternative: 볼린저 밴드 돌파 — CAGR is 41.9%p higher than buy and hold, while drawdown improves by 44.6%p (CAGR 6.5%, MDD -51.9%, exposure 5%).
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=13, threshold=28 |
16.0% | -54.8% | 0.49 | 0.29 | 3.6x | 48 | 15% |
| Keltner 채널 돌파 emaPeriod=53, atrPeriod=21, mult=3.5 |
8.5% | -54.9% | 0.38 | 0.15 | 2.0x | 13 | 14% |
| Supertrend period=8, mult=3.5 |
-0.7% | -90.4% | 0.34 | -0.01 | 0.9x | 39 | 50% |
| Donchian 채널 돌파 entryN=13, exitN=13 |
-0.3% | -86.8% | 0.33 | -0.00 | 1.0x | 57 | 45% |
| 볼린저 밴드 돌파 n=50, k=3.5 |
6.5% | -51.9% | 0.33 | 0.13 | 1.7x | 4 | 5% |
| SMA 크로스오버 fast=55, slow=96 |
0.9% | -85.4% | 0.30 | 0.01 | 1.1x | 21 | 39% |
| MACD fast=17, slow=72, signal=51 |
-6.5% | -94.7% | 0.29 | -0.07 | 0.6x | 50 | 52% |
| ROC 모멘텀 n=74, threshold=0.04 |
-4.9% | -92.0% | 0.25 | -0.05 | 0.6x | 93 | 35% |
| EMA 크로스오버 fast=58, slow=216 |
0.2% | -73.8% | 0.19 | 0.00 | 1.0x | 9 | 16% |
| Parabolic SAR step=0.005, maxStep=0.22 |
-29.0% | -97.0% | -0.14 | -0.30 | 0.1x | 81 | 42% |
| Buy and hold | -25.9% | -99.4% | 0.18 | -0.26 | 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, 13-day) is ≥ 28
- Sell — Sell when direction flips or the trend weakens (ADX < 28)