Trend-Following Backtester · Guide · backtest 한국어
equity · US
Enliven Therapeutics, Inc. backtest
10 trend-following strategies were compared on the full daily history of Enliven Therapeutics, Inc.. 9 beat buy-and-hold CAGR; Keltner 채널 돌파 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is Keltner 채널 돌파 (CAGR 25.3%, MDD -29.4%).
Results by strategy
9 of 10 beat buy and hold (CAGR -0.6%, drawdown -98.2%).
Sharpe leader (same as main): Keltner 채널 돌파 — CAGR 25.3%, MDD -29.4%, Sharpe 0.79, 8% exposure.
CAGR reference leader: Donchian 채널 돌파 — CAGR 30.4%, MDD -54.5%, exposure 39%.
Return/drawdown alternative: Keltner 채널 돌파 — CAGR is 25.9%p higher than buy and hold, while drawdown improves by 68.8%p (CAGR 25.3%, MDD -29.4%, exposure 8%).
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 |
|---|---|---|---|---|---|---|---|
| Keltner 채널 돌파 emaPeriod=15, atrPeriod=28, mult=3.9 |
25.3% | -29.4% | 0.79 | 0.86 | 4.3x | 8 | 8% |
| Donchian 채널 돌파 entryN=81, exitN=52 |
30.4% | -54.5% | 0.77 | 0.56 | 5.6x | 5 | 39% |
| 볼린저 밴드 돌파 n=25, k=3.4 |
25.9% | -34.5% | 0.77 | 0.75 | 4.4x | 10 | 9% |
| ADX / DI 방향성 period=6, threshold=47 |
23.9% | -31.1% | 0.76 | 0.77 | 4.0x | 44 | 13% |
| SMA 크로스오버 fast=28, slow=149 |
29.7% | -47.4% | 0.76 | 0.63 | 5.4x | 9 | 42% |
| Supertrend period=24, mult=4.3 |
25.9% | -75.5% | 0.67 | 0.34 | 4.4x | 15 | 50% |
| ROC 모멘텀 n=146, threshold=0.09 |
21.8% | -57.8% | 0.65 | 0.38 | 3.6x | 41 | 37% |
| EMA 크로스오버 fast=38, slow=106 |
14.3% | -53.7% | 0.51 | 0.27 | 2.4x | 11 | 41% |
| Parabolic SAR step=0.005, maxStep=0.38 |
10.2% | -81.0% | 0.45 | 0.13 | 1.9x | 52 | 45% |
| MACD fast=20, slow=62, signal=20 |
-12.2% | -83.5% | 0.08 | -0.15 | 0.4x | 58 | 52% |
| Buy and hold | -0.6% | -98.2% | 0.40 | -0.01 | 1.0x | 1 | 100% |
Rules of the top strategy
Breaking above the channel top (average plus a multiple of volatility) signals an upside breakout.
- Buy — Buy when the close breaks above the 15-day average + 3.9× volatility (Keltner top)
- Sell — Sell when the close falls back to the 15-day average