Trend-Following Backtester · Guide · backtest 한국어
equity · US
Damora Therapeutics, Inc. backtest
10 trend-following strategies were compared on the full daily history of Damora Therapeutics, Inc.. 10 beat buy-and-hold CAGR; ROC 모멘텀 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is ROC 모멘텀 (CAGR 25.4%, MDD -72.4%).
Results by strategy
10 of 10 beat buy and hold (CAGR -35.9%, drawdown -99.5%).
Sharpe leader (same as main): ROC 모멘텀 — CAGR 25.4%, MDD -72.4%, Sharpe 0.51, 30% exposure.
Return/drawdown alternative: ROC 모멘텀 — CAGR is 61.3%p higher than buy and hold, while drawdown improves by 27.1%p (CAGR 25.4%, MDD -72.4%, exposure 30%).
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 |
|---|---|---|---|---|---|---|---|
| ROC 모멘텀 n=122, threshold=0.01 |
25.4% | -72.4% | 0.51 | 0.35 | 3.8x | 35 | 30% |
| ADX / DI 방향성 period=13, threshold=18 |
10.9% | -85.9% | 0.47 | 0.13 | 1.8x | 64 | 35% |
| Donchian 채널 돌파 entryN=92, exitN=74 |
3.3% | -88.1% | 0.45 | 0.04 | 1.2x | 5 | 33% |
| SMA 크로스오버 fast=18, slow=116 |
1.0% | -87.5% | 0.45 | 0.01 | 1.1x | 11 | 34% |
| EMA 크로스오버 fast=43, slow=67 |
-2.5% | -88.1% | 0.42 | -0.03 | 0.9x | 11 | 28% |
| Parabolic SAR step=0.01, maxStep=0.1 |
-7.0% | -86.5% | 0.32 | -0.08 | 0.7x | 68 | 41% |
| MACD fast=6, slow=58, signal=11 |
-9.3% | -87.1% | 0.32 | -0.11 | 0.6x | 98 | 51% |
| Keltner 채널 돌파 emaPeriod=33, atrPeriod=12, mult=2.2 |
-4.7% | -78.8% | 0.28 | -0.06 | 0.8x | 22 | 15% |
| 볼린저 밴드 돌파 n=18, k=3 |
-11.7% | -84.4% | 0.23 | -0.14 | 0.5x | 22 | 10% |
| Supertrend period=27, mult=3.7 |
-18.9% | -89.5% | 0.21 | -0.21 | 0.3x | 25 | 28% |
| Buy and hold | -35.9% | -99.5% | 0.33 | -0.36 | 0.1x | 1 | 100% |
Rules of the top strategy
Rides the trend when recent return (momentum) over a window is above a threshold.
- Buy — Buy when the last 122-day return is greater than 1%
- Sell — Sell when the 122-day return drops to 1% or below