Trend-Following Backtester · Guide · backtest 한국어
equity · US
Foghorn Therapeutics Inc. backtest
10 trend-following strategies were compared on the full daily history of Foghorn Therapeutics Inc.. 9 beat buy-and-hold CAGR; Parabolic SAR ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is Keltner 채널 돌파 (CAGR 3.9%, MDD -14.9%).
Results by strategy
9 of 10 beat buy and hold (CAGR -21.4%, drawdown -89.1%).
Sharpe leader (same as main): Parabolic SAR — CAGR 26.5%, MDD -65.7%, Sharpe 0.67, 46% exposure.
Return/drawdown alternative: Keltner 채널 돌파 — CAGR is 47.9%p higher than buy and hold, while drawdown improves by 23.4%p (CAGR 3.9%, MDD -14.9%, exposure 2%).
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 |
|---|---|---|---|---|---|---|---|
| Parabolic SAR step=0.015, maxStep=0.16 |
26.5% | -65.7% | 0.67 | 0.40 | 3.9x | 94 | 46% |
| MACD fast=11, slow=24, signal=6 |
26.1% | -64.0% | 0.66 | 0.41 | 3.8x | 122 | 51% |
| ADX / DI 방향성 period=7, threshold=19 |
5.6% | -67.5% | 0.38 | 0.08 | 1.4x | 148 | 46% |
| ROC 모멘텀 n=14, threshold=-0.02 |
4.9% | -57.7% | 0.38 | 0.08 | 1.3x | 144 | 50% |
| Supertrend period=14, mult=1.7 |
2.6% | -62.5% | 0.32 | 0.04 | 1.2x | 72 | 42% |
| 볼린저 밴드 돌파 n=17, k=1.3 |
3.5% | -53.1% | 0.32 | 0.07 | 1.2x | 78 | 35% |
| Keltner 채널 돌파 emaPeriod=8, atrPeriod=16, mult=2.9 |
3.9% | -14.9% | 0.31 | 0.26 | 1.2x | 4 | 2% |
| Donchian 채널 돌파 entryN=13, exitN=46 |
-19.1% | -80.6% | 0.06 | -0.24 | 0.3x | 25 | 68% |
| SMA 크로스오버 fast=53, slow=86 |
-18.1% | -86.3% | -0.01 | -0.21 | 0.3x | 20 | 41% |
| EMA 크로스오버 fast=50, slow=67 |
-32.0% | -94.3% | -0.43 | -0.34 | 0.1x | 21 | 40% |
| Buy and hold | -21.4% | -89.1% | 0.17 | -0.24 | 0.2x | 1 | 100% |
Rules of the top strategy
Trades around the Parabolic SAR dots that accelerate toward price.
- Buy — Buy when price rises above the SAR dots
- Sell — Sell when price falls below the SAR dots