Trend-Following Backtester · Guide · backtest 한국어
equity · US
Editas Medicine, Inc. backtest
10 trend-following strategies were compared on the full daily history of Editas Medicine, 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 1.9%, MDD -62.8%).
Results by strategy
10 of 10 beat buy and hold (CAGR -17.0%, drawdown -98.9%).
Sharpe leader (same as main): Supertrend — CAGR 5.0%, MDD -88.1%, Sharpe 0.38, 49% exposure.
Return/drawdown alternative: Keltner 채널 돌파 — CAGR is 22.0%p higher than buy and hold, while drawdown improves by 10.8%p (CAGR 1.9%, MDD -62.8%, exposure 32%).
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=6, mult=3.5 |
5.0% | -88.1% | 0.38 | 0.06 | 1.7x | 50 | 49% |
| MACD fast=19, slow=32, signal=18 |
1.2% | -78.8% | 0.33 | 0.02 | 1.1x | 112 | 53% |
| Keltner 채널 돌파 emaPeriod=40, atrPeriod=29, mult=1.1 |
1.9% | -62.8% | 0.29 | 0.03 | 1.2x | 82 | 32% |
| Parabolic SAR step=0.035, maxStep=0.16 |
-3.3% | -84.6% | 0.24 | -0.04 | 0.7x | 286 | 45% |
| Donchian 채널 돌파 entryN=14, exitN=20 |
-4.6% | -86.0% | 0.23 | -0.05 | 0.6x | 66 | 50% |
| 볼린저 밴드 돌파 n=50, k=0.9 |
-2.2% | -76.9% | 0.22 | -0.03 | 0.8x | 66 | 35% |
| ROC 모멘텀 n=38, threshold=0.06 |
-6.4% | -90.6% | 0.16 | -0.07 | 0.5x | 170 | 37% |
| EMA 크로스오버 fast=11, slow=99 |
-4.0% | -84.6% | 0.16 | -0.05 | 0.6x | 38 | 38% |
| ADX / DI 방향성 period=35, threshold=9 |
-8.6% | -88.2% | 0.14 | -0.10 | 0.4x | 98 | 43% |
| SMA 크로스오버 fast=55, slow=66 |
-6.7% | -92.1% | 0.11 | -0.07 | 0.5x | 52 | 43% |
| Buy and hold | -17.0% | -98.9% | 0.19 | -0.17 | 0.1x | 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) — 6-day volatility, 3.5× band
- Sell — Sell when price drops below the trend line (flips down)