Trend-Following Backtester · Guide · backtest 한국어
equity · US
Monte Rosa Therapeutics, Inc. backtest
10 trend-following strategies were compared on the full daily history of Monte Rosa 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 14.3%, MDD -22.1%).
Results by strategy
10 of 10 beat buy and hold (CAGR -7.8%, drawdown -94.1%).
Sharpe leader (same as main): 볼린저 밴드 돌파 — CAGR 15.0%, MDD -23.4%, Sharpe 0.76, 6% exposure.
CAGR reference leader: SMA 크로스오버 — CAGR 19.5%, MDD -55.2%, exposure 36%.
Return/drawdown alternative: Keltner 채널 돌파 — CAGR is 22.8%p higher than buy and hold, while drawdown improves by 70.7%p (CAGR 14.3%, MDD -22.1%, exposure 7%).
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=15, k=3.4 |
15.0% | -23.4% | 0.76 | 0.64 | 2.1x | 4 | 6% |
| Keltner 채널 돌파 emaPeriod=13, atrPeriod=22, mult=3.9 |
14.3% | -22.1% | 0.72 | 0.65 | 2.0x | 6 | 7% |
| ADX / DI 방향성 period=15, threshold=39 |
17.0% | -44.0% | 0.69 | 0.39 | 2.3x | 8 | 9% |
| SMA 크로스오버 fast=49, slow=141 |
19.5% | -55.2% | 0.54 | 0.35 | 2.5x | 7 | 36% |
| MACD fast=12, slow=24, signal=19 |
13.5% | -68.9% | 0.52 | 0.20 | 1.9x | 68 | 49% |
| Parabolic SAR step=0.015, maxStep=0.26 |
14.0% | -77.2% | 0.50 | 0.18 | 2.0x | 88 | 46% |
| Supertrend period=11, mult=2.1 |
9.7% | -74.1% | 0.46 | 0.13 | 1.6x | 46 | 44% |
| Donchian 채널 돌파 entryN=57, exitN=64 |
10.2% | -67.5% | 0.45 | 0.15 | 1.7x | 6 | 41% |
| EMA 크로스오버 fast=41, slow=181 |
9.0% | -51.6% | 0.40 | 0.18 | 1.6x | 7 | 32% |
| ROC 모멘텀 n=88, threshold=0.23 |
4.0% | -64.7% | 0.32 | 0.06 | 1.2x | 40 | 22% |
| Buy and hold | -7.8% | -94.1% | 0.38 | -0.08 | 0.7x | 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 15-day average (3.4× volatility)
- Sell — Sell when the close falls back to the 15-day middle average