Trend-Following Backtester · Guide · backtest 한국어
equity · US
Precision BioSciences, Inc. backtest
10 trend-following strategies were compared on the full daily history of Precision BioSciences, 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 2.0%, MDD -47.9%).
Results by strategy
10 of 10 beat buy and hold (CAGR -44.5%, drawdown -99.4%).
Sharpe leader (same as main): ROC 모멘텀 — CAGR 2.0%, MDD -47.9%, Sharpe 0.23, 19% exposure.
Return/drawdown alternative: ROC 모멘텀 — CAGR is 46.5%p higher than buy and hold, while drawdown improves by 51.5%p (CAGR 2.0%, MDD -47.9%, exposure 19%).
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=199, threshold=0.08 |
2.0% | -47.9% | 0.23 | 0.04 | 1.2x | 27 | 19% |
| ADX / DI 방향성 period=11, threshold=37 |
0.1% | -74.8% | 0.21 | 0.00 | 1.0x | 24 | 7% |
| Supertrend period=29, mult=4.7 |
-2.3% | -66.3% | 0.20 | -0.04 | 0.8x | 15 | 23% |
| SMA 크로스오버 fast=10, slow=251 |
0.2% | -51.6% | 0.18 | 0.00 | 1.0x | 5 | 19% |
| 볼린저 밴드 돌파 n=16, k=3.5 |
-0.2% | -59.1% | 0.15 | -0.00 | 1.0x | 4 | 2% |
| Keltner 채널 돌파 emaPeriod=34, atrPeriod=14, mult=2.6 |
-3.3% | -67.8% | 0.12 | -0.05 | 0.8x | 16 | 8% |
| EMA 크로스오버 fast=45, slow=248 |
-4.0% | -49.2% | 0.03 | -0.08 | 0.7x | 3 | 17% |
| Donchian 채널 돌파 entryN=67, exitN=78 |
-10.7% | -79.7% | 0.03 | -0.13 | 0.4x | 9 | 29% |
| MACD fast=13, slow=38, signal=15 |
-30.4% | -98.3% | -0.20 | -0.31 | 0.1x | 100 | 50% |
| Parabolic SAR step=0.035, maxStep=0.12 |
-28.1% | -97.8% | -0.22 | -0.29 | 0.1x | 198 | 39% |
| Buy and hold | -44.5% | -99.4% | -0.27 | -0.45 | 0.0x | 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 199-day return is greater than 8%
- Sell — Sell when the 199-day return drops to 8% or below