Trend-Following Backtester · Guide · backtest 한국어
equity · US
Forte Biosciences, Inc. backtest
10 trend-following strategies were compared on the full daily history of Forte Biosciences, Inc.. 10 beat buy-and-hold CAGR; 볼린저 밴드 돌파 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is Keltner 채널 돌파 (CAGR 26.5%, MDD -56.1%).
Results by strategy
10 of 10 beat buy and hold (CAGR -35.8%, drawdown -99.9%).
Sharpe leader (same as main): 볼린저 밴드 돌파 — CAGR 40.8%, MDD -59.6%, Sharpe 0.72, 17% exposure.
Return/drawdown alternative: Keltner 채널 돌파 — CAGR is 76.6%p higher than buy and hold, while drawdown improves by 40.4%p (CAGR 26.5%, MDD -56.1%, 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 |
|---|---|---|---|---|---|---|---|
| 볼린저 밴드 돌파 n=20, k=2.4 |
40.8% | -59.6% | 0.72 | 0.69 | 24.1x | 53 | 17% |
| ROC 모멘텀 n=20, threshold=0.11 |
31.8% | -69.0% | 0.65 | 0.46 | 13.0x | 143 | 23% |
| Keltner 채널 돌파 emaPeriod=24, atrPeriod=37, mult=3.4 |
26.5% | -56.1% | 0.64 | 0.47 | 8.9x | 15 | 8% |
| ADX / DI 방향성 period=19, threshold=24 |
21.7% | -70.2% | 0.56 | 0.31 | 6.2x | 39 | 22% |
| MACD fast=9, slow=25, signal=15 |
1.0% | -98.6% | 0.54 | 0.01 | 1.1x | 149 | 52% |
| Donchian 채널 돌파 entryN=34, exitN=52 |
14.5% | -75.4% | 0.51 | 0.19 | 3.5x | 21 | 46% |
| SMA 크로스오버 fast=13, slow=29 |
12.2% | -91.7% | 0.47 | 0.13 | 2.9x | 89 | 41% |
| Supertrend period=15, mult=4.7 |
10.7% | -70.3% | 0.44 | 0.15 | 2.6x | 21 | 32% |
| Parabolic SAR step=0.015, maxStep=0.12 |
-15.0% | -99.2% | 0.35 | -0.15 | 0.2x | 149 | 43% |
| EMA 크로스오버 fast=18, slow=138 |
-4.8% | -84.7% | 0.15 | -0.06 | 0.6x | 23 | 29% |
| Buy and hold | -35.8% | -99.9% | 0.23 | -0.36 | 0.0x | 1 | 100% |
Rules of the top strategy
Breaking above the upper band (average plus a multiple of volatility) signals a strong move up.
- Buy — Buy when the close breaks above the upper band of the 20-day average (2.4× volatility)
- Sell — Sell when the close falls back to the 20-day middle average