Trend-Following Backtester · Guide · backtest 한국어
equity · US
Dyne Therapeutics, Inc. backtest
10 trend-following strategies were compared on the full daily history of Dyne Therapeutics, Inc.. 10 beat buy-and-hold CAGR; Supertrend ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is Keltner 채널 돌파 (CAGR 15.2%, MDD -38.2%).
Results by strategy
10 of 10 beat buy and hold (CAGR 0.8%, drawdown -85.5%).
Sharpe leader (same as main): Supertrend — CAGR 38.7%, MDD -46.5%, Sharpe 0.86, 47% exposure.
Return/drawdown alternative: Keltner 채널 돌파 — CAGR is 37.9%p higher than buy and hold, while drawdown improves by 39.0%p (CAGR 15.2%, MDD -38.2%, exposure 15%).
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 |
|---|---|---|---|---|---|---|---|
| Supertrend period=23, mult=3.4 |
38.7% | -46.5% | 0.86 | 0.83 | 6.8x | 23 | 47% |
| MACD fast=14, slow=131, signal=17 |
34.9% | -51.3% | 0.81 | 0.68 | 5.8x | 49 | 47% |
| ADX / DI 방향성 period=34, threshold=15 |
30.8% | -48.2% | 0.80 | 0.64 | 4.8x | 23 | 31% |
| Donchian 채널 돌파 entryN=18, exitN=32 |
30.3% | -57.4% | 0.74 | 0.53 | 4.7x | 25 | 58% |
| SMA 크로스오버 fast=19, slow=29 |
28.2% | -51.0% | 0.72 | 0.55 | 4.3x | 51 | 49% |
| Parabolic SAR step=0.045, maxStep=0.14 |
28.2% | -66.0% | 0.72 | 0.43 | 4.3x | 177 | 49% |
| EMA 크로스오버 fast=19, slow=25 |
27.1% | -55.5% | 0.71 | 0.49 | 4.1x | 31 | 48% |
| ROC 모멘텀 n=119, threshold=0 |
24.4% | -52.3% | 0.67 | 0.47 | 3.6x | 43 | 45% |
| 볼린저 밴드 돌파 n=20, k=2.3 |
18.0% | -60.2% | 0.58 | 0.30 | 2.6x | 37 | 25% |
| Keltner 채널 돌파 emaPeriod=22, atrPeriod=27, mult=2.9 |
15.2% | -38.2% | 0.56 | 0.40 | 2.3x | 14 | 15% |
| Buy and hold | 0.8% | -85.5% | 0.40 | 0.01 | 1.0x | 1 | 100% |
Rules of the top strategy
Trades the direction of a volatility-based trend line that trails below/above price.
- Buy — Buy when price moves above the trend line (flips up) — 23-day volatility, 3.4× band
- Sell — Sell when price drops below the trend line (flips down)