Trend-Following Backtester · Guide · backtest 한국어
equity · US
Humacyte, Inc. backtest
10 trend-following strategies were compared on the full daily history of Humacyte, Inc.. 10 beat buy-and-hold CAGR; MACD ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is ADX / DI 방향성 (CAGR 0.9%, MDD -4.3%).
Results by strategy
10 of 10 beat buy and hold (CAGR -37.9%, drawdown -96.6%).
Sharpe leader (same as main): MACD — CAGR 16.7%, MDD -78.1%, Sharpe 0.57, 50% exposure.
Return/drawdown alternative: ADX / DI 방향성 — CAGR is 54.6%p higher than buy and hold, while drawdown improves by 18.6%p (CAGR 0.9%, MDD -4.3%, exposure 1%).
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 |
|---|---|---|---|---|---|---|---|
| MACD fast=9, slow=22, signal=15 |
16.7% | -78.1% | 0.57 | 0.21 | 2.4x | 83 | 50% |
| Supertrend period=11, mult=2.8 |
4.0% | -78.1% | 0.38 | 0.05 | 1.2x | 36 | 38% |
| ADX / DI 방향성 period=39, threshold=33 |
0.9% | -4.3% | 0.35 | 0.22 | 1.1x | 2 | 1% |
| EMA 크로스오버 fast=48, slow=228 |
1.8% | -54.8% | 0.24 | 0.03 | 1.1x | 4 | 16% |
| ROC 모멘텀 n=135, threshold=0.1 |
-1.6% | -64.7% | 0.19 | -0.03 | 0.9x | 36 | 20% |
| 볼린저 밴드 돌파 n=19, k=2 |
-4.3% | -66.2% | 0.19 | -0.06 | 0.8x | 54 | 25% |
| Parabolic SAR step=0.035, maxStep=0.28 |
-11.8% | -85.6% | 0.13 | -0.14 | 0.5x | 151 | 44% |
| SMA 크로스오버 fast=47, slow=153 |
-4.2% | -64.7% | 0.13 | -0.07 | 0.8x | 8 | 24% |
| Keltner 채널 돌파 emaPeriod=28, atrPeriod=10, mult=1.4 |
-9.0% | -68.4% | 0.09 | -0.13 | 0.6x | 42 | 24% |
| Donchian 채널 돌파 entryN=21, exitN=76 |
-22.9% | -85.5% | 0.02 | -0.27 | 0.2x | 17 | 62% |
| Buy and hold | -37.9% | -96.6% | -0.05 | -0.39 | 0.1x | 1 | 100% |
Rules of the top strategy
Looks at the gap (MACD) between a short and long average crossing its own signal line.
- Buy — Buy when the MACD line (9/22) crosses above its 15-day signal line
- Sell — Sell when the MACD line crosses back below the signal line