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 14.9%, MDD -38.2%).
Results by strategy
10 of 10 beat buy and hold (CAGR 1.0%, drawdown -85.5%).
Sharpe leader (same as main): Supertrend — CAGR 38.3%, MDD -46.5%, Sharpe 0.86, 48% exposure.
Return/drawdown alternative: Keltner 채널 돌파 — CAGR is 37.3%p higher than buy and hold, while drawdown improves by 39.0%p (CAGR 14.9%, 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 |
38.3% | -46.5% | 0.86 | 0.82 | 6.9x | 23 | 48% |
| MACD fast=14, slow=131, signal=17 |
35.2% | -51.3% | 0.82 | 0.69 | 6.0x | 50 | 48% |
| ADX / DI 방향성 period=34, threshold=15 |
30.5% | -48.2% | 0.80 | 0.63 | 4.9x | 23 | 32% |
| Donchian 채널 돌파 entryN=18, exitN=32 |
30.0% | -57.4% | 0.73 | 0.52 | 4.8x | 25 | 59% |
| Parabolic SAR step=0.045, maxStep=0.14 |
28.1% | -66.0% | 0.72 | 0.43 | 4.4x | 178 | 49% |
| SMA 크로스오버 fast=19, slow=29 |
28.0% | -51.0% | 0.72 | 0.55 | 4.3x | 51 | 50% |
| EMA 크로스오버 fast=19, slow=25 |
26.9% | -55.5% | 0.70 | 0.48 | 4.1x | 31 | 48% |
| ROC 모멘텀 n=119, threshold=0 |
24.2% | -52.3% | 0.67 | 0.46 | 3.6x | 43 | 46% |
| 볼린저 밴드 돌파 n=20, k=2.3 |
17.5% | -60.2% | 0.57 | 0.29 | 2.6x | 38 | 26% |
| Keltner 채널 돌파 emaPeriod=22, atrPeriod=27, mult=2.9 |
14.9% | -38.2% | 0.56 | 0.39 | 2.3x | 14 | 15% |
| Buy and hold | 1.0% | -85.5% | 0.40 | 0.01 | 1.1x | 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)