Trend-Following Backtester · Guide · backtest 한국어
equity · US
Fate Therapeutics, Inc. backtest
10 trend-following strategies were compared on the full daily history of Fate Therapeutics, Inc.. 10 beat buy-and-hold CAGR; SMA 크로스오버 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is Keltner 채널 돌파 (CAGR 9.6%, MDD -53.7%).
Results by strategy
10 of 10 beat buy and hold (CAGR -7.5%, drawdown -99.4%).
Sharpe leader (same as main): SMA 크로스오버 — CAGR 27.9%, MDD -73.0%, Sharpe 0.71, 45% exposure.
Return/drawdown alternative: Keltner 채널 돌파 — CAGR is 35.4%p higher than buy and hold, while drawdown improves by 26.5%p (CAGR 9.6%, MDD -53.7%, exposure 12%).
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 |
|---|---|---|---|---|---|---|---|
| SMA 크로스오버 fast=26, slow=157 |
27.9% | -73.0% | 0.71 | 0.38 | 23.4x | 17 | 45% |
| Donchian 채널 돌파 entryN=35, exitN=71 |
24.3% | -79.3% | 0.65 | 0.31 | 16.3x | 17 | 66% |
| EMA 크로스오버 fast=55, slow=82 |
20.5% | -72.9% | 0.60 | 0.28 | 11.0x | 19 | 48% |
| Supertrend period=33, mult=3.5 |
19.7% | -73.8% | 0.60 | 0.27 | 10.1x | 51 | 44% |
| ADX / DI 방향성 period=29, threshold=6 |
11.9% | -83.1% | 0.48 | 0.14 | 4.2x | 153 | 55% |
| ROC 모멘텀 n=103, threshold=0.05 |
12.6% | -84.1% | 0.48 | 0.15 | 4.6x | 127 | 45% |
| Keltner 채널 돌파 emaPeriod=30, atrPeriod=22, mult=3.8 |
9.6% | -53.7% | 0.43 | 0.18 | 3.2x | 24 | 12% |
| 볼린저 밴드 돌파 n=56, k=2.2 |
4.3% | -76.1% | 0.31 | 0.06 | 1.7x | 46 | 27% |
| MACD fast=19, slow=43, signal=21 |
-3.4% | -84.2% | 0.25 | -0.04 | 0.6x | 126 | 53% |
| Parabolic SAR step=0.045, maxStep=0.14 |
-5.1% | -96.2% | 0.20 | -0.05 | 0.5x | 378 | 48% |
| Buy and hold | -7.5% | -99.4% | 0.34 | -0.08 | 0.4x | 1 | 100% |
Rules of the top strategy
When the short average rises above the long average, it reads that as an uptrend starting.
- Buy — Buy when the 26-day average price crosses above the 157-day average
- Sell — Sell (to cash) when the 26-day average falls below the 157-day average