Trend-Following Backtester · Guide · backtest 한국어
equity · US
4D Molecular Therapeutics, Inc. backtest
10 trend-following strategies were compared on the full daily history of 4D Molecular Therapeutics, Inc.. 10 beat buy-and-hold CAGR; Donchian 채널 돌파 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is ADX / DI 방향성 (CAGR 18.5%, MDD -28.0%).
Results by strategy
10 of 10 beat buy and hold (CAGR -21.8%, drawdown -95.2%).
Sharpe leader (same as main): Donchian 채널 돌파 — CAGR 36.7%, MDD -50.1%, Sharpe 0.76, 45% exposure.
Return/drawdown alternative: ADX / DI 방향성 — CAGR is 58.5%p higher than buy and hold, while drawdown improves by 45.1%p (CAGR 18.5%, MDD -28.0%, exposure 15%).
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 |
|---|---|---|---|---|---|---|---|
| Donchian 채널 돌파 entryN=30, exitN=45 |
36.7% | -50.1% | 0.76 | 0.73 | 5.8x | 13 | 45% |
| 볼린저 밴드 돌파 n=48, k=2.9 |
31.5% | -40.9% | 0.72 | 0.77 | 4.7x | 8 | 18% |
| Keltner 채널 돌파 emaPeriod=27, atrPeriod=21, mult=3.7 |
18.2% | -38.0% | 0.66 | 0.48 | 2.6x | 8 | 11% |
| ROC 모멘텀 n=40, threshold=0.1 |
20.5% | -50.8% | 0.57 | 0.40 | 2.9x | 56 | 29% |
| ADX / DI 방향성 period=19, threshold=26 |
18.5% | -28.0% | 0.55 | 0.66 | 2.6x | 18 | 15% |
| SMA 크로스오버 fast=58, slow=124 |
17.7% | -41.4% | 0.53 | 0.43 | 2.5x | 15 | 36% |
| Supertrend period=16, mult=2.1 |
10.8% | -67.8% | 0.47 | 0.16 | 1.8x | 50 | 39% |
| EMA 크로스오버 fast=25, slow=38 |
2.3% | -68.2% | 0.33 | 0.03 | 1.1x | 25 | 37% |
| Parabolic SAR step=0.015, maxStep=0.36 |
-14.4% | -77.4% | 0.06 | -0.19 | 0.4x | 94 | 44% |
| MACD fast=16, slow=43, signal=11 |
-16.3% | -91.4% | 0.05 | -0.18 | 0.4x | 78 | 48% |
| Buy and hold | -21.8% | -95.2% | 0.15 | -0.23 | 0.3x | 1 | 100% |
Rules of the top strategy
A new high means a trend starting; a new low means it’s over (turtle-trading style).
- Buy — Buy on a breakout above the highest high of the last 30 days
- Sell — Sell when price breaks below the lowest low of the last 45 days