Trend-Following Backtester · Guide · backtest 한국어
equity · US
Fulcrum Therapeutics, Inc. backtest
10 trend-following strategies were compared on the full daily history of Fulcrum Therapeutics, 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 27.7%, MDD -49.6%).
Results by strategy
10 of 10 beat buy and hold (CAGR -17.3%, drawdown -92.7%).
Sharpe leader (same as main): 볼린저 밴드 돌파 — CAGR 45.5%, MDD -70.1%, Sharpe 0.94, 38% exposure.
CAGR reference leader: Parabolic SAR — CAGR 48.5%, MDD -51.0%, exposure 43%.
Return/drawdown alternative: Keltner 채널 돌파 — CAGR is 62.8%p higher than buy and hold, while drawdown improves by 22.6%p (CAGR 27.7%, MDD -49.6%, exposure 20%).
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=31, k=1.3 |
45.5% | -70.1% | 0.94 | 0.65 | 14.0x | 56 | 38% |
| MACD fast=14, slow=48, signal=10 |
47.3% | -79.8% | 0.93 | 0.59 | 15.2x | 79 | 52% |
| Parabolic SAR step=0.005, maxStep=0.36 |
48.5% | -51.0% | 0.93 | 0.95 | 16.2x | 54 | 43% |
| SMA 크로스오버 fast=13, slow=21 |
43.2% | -62.5% | 0.87 | 0.69 | 12.5x | 86 | 48% |
| Donchian 채널 돌파 entryN=25, exitN=24 |
34.9% | -64.6% | 0.80 | 0.54 | 8.2x | 28 | 45% |
| Keltner 채널 돌파 emaPeriod=13, atrPeriod=18, mult=1.6 |
27.7% | -49.6% | 0.79 | 0.56 | 5.6x | 48 | 20% |
| Supertrend period=21, mult=2.1 |
35.1% | -66.7% | 0.79 | 0.53 | 8.3x | 62 | 43% |
| ROC 모멘텀 n=14, threshold=-0.01 |
33.5% | -64.1% | 0.77 | 0.52 | 7.6x | 181 | 50% |
| ADX / DI 방향성 period=16, threshold=15 |
28.9% | -78.6% | 0.70 | 0.37 | 6.0x | 96 | 47% |
| EMA 크로스오버 fast=7, slow=35 |
21.5% | -68.1% | 0.64 | 0.32 | 3.9x | 44 | 44% |
| Buy and hold | -17.3% | -92.7% | 0.38 | -0.19 | 0.3x | 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 31-day average (1.3× volatility)
- Sell — Sell when the close falls back to the 31-day middle average