Trend-Following Backtester · Guide · backtest 한국어
equity · US
Erasca, Inc. backtest
10 trend-following strategies were compared on the full daily history of Erasca, 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 22.3%, MDD -7.8%).
Results by strategy
9 of 10 beat buy and hold (CAGR 0.4%, drawdown -95.6%).
Sharpe leader (same as main): Keltner 채널 돌파 — CAGR 22.3%, MDD -7.8%, Sharpe 1.19, 3% exposure.
CAGR reference leader: SMA 크로스오버 — CAGR 63.9%, MDD -59.5%, exposure 38%.
Return/drawdown alternative: Keltner 채널 돌파 — CAGR is 21.9%p higher than buy and hold, while drawdown improves by 87.8%p (CAGR 22.3%, MDD -7.8%, exposure 3%).
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=12, atrPeriod=17, mult=3.1 |
22.3% | -7.8% | 1.19 | 2.85 | 2.8x | 2 | 3% |
| SMA 크로스오버 fast=64, slow=120 |
63.9% | -59.5% | 1.17 | 1.07 | 12.6x | 7 | 38% |
| ADX / DI 방향성 period=19, threshold=39 |
26.5% | -16.0% | 1.12 | 1.66 | 3.3x | 6 | 8% |
| EMA 크로스오버 fast=26, slow=144 |
53.5% | -59.5% | 1.10 | 0.90 | 9.0x | 3 | 31% |
| 볼린저 밴드 돌파 n=19, k=3.5 |
20.6% | -14.0% | 1.10 | 1.47 | 2.6x | 2 | 3% |
| ROC 모멘텀 n=114, threshold=0.1 |
55.3% | -59.5% | 1.10 | 0.93 | 9.5x | 19 | 32% |
| Donchian 채널 돌파 entryN=104, exitN=17 |
36.2% | -56.2% | 0.94 | 0.64 | 4.9x | 4 | 16% |
| Supertrend period=19, mult=4.7 |
30.2% | -59.3% | 0.77 | 0.51 | 3.9x | 9 | 34% |
| Parabolic SAR step=0.025, maxStep=0.14 |
5.3% | -87.4% | 0.37 | 0.06 | 1.3x | 119 | 47% |
| MACD fast=12, slow=55, signal=6 |
-32.0% | -96.2% | -0.32 | -0.33 | 0.1x | 108 | 54% |
| Buy and hold | 0.4% | -95.6% | 0.42 | 0.00 | 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 12-day average + 3.1× volatility (Keltner top)
- Sell — Sell when the close falls back to the 12-day average