Trend-Following Backtester · Guide · backtest 한국어
equity · US
Immuneering Corporation backtest
10 trend-following strategies were compared on the full daily history of Immuneering Corporation. 10 beat buy-and-hold CAGR; Donchian 채널 돌파 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is 볼린저 밴드 돌파 (CAGR 18.9%, MDD -23.2%).
Results by strategy
10 of 10 beat buy and hold (CAGR -25.2%, drawdown -96.9%).
Sharpe leader (same as main): Donchian 채널 돌파 — CAGR 31.4%, MDD -38.7%, Sharpe 0.75, 13% exposure.
Return/drawdown alternative: 볼린저 밴드 돌파 — CAGR is 56.7%p higher than buy and hold, while drawdown improves by 58.1%p (CAGR 18.9%, MDD -23.2%, exposure 5%).
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=71, exitN=11 |
31.4% | -38.7% | 0.75 | 0.81 | 3.9x | 12 | 13% |
| ADX / DI 방향성 period=8, threshold=35 |
31.3% | -53.6% | 0.72 | 0.58 | 3.9x | 38 | 18% |
| Keltner 채널 돌파 emaPeriod=26, atrPeriod=26, mult=3.3 |
28.6% | -42.3% | 0.72 | 0.68 | 3.5x | 10 | 12% |
| 볼린저 밴드 돌파 n=12, k=2.9 |
18.9% | -23.2% | 0.64 | 0.81 | 2.4x | 10 | 5% |
| ROC 모멘텀 n=75, threshold=0.01 |
20.9% | -64.1% | 0.60 | 0.33 | 2.6x | 48 | 37% |
| MACD fast=17, slow=40, signal=14 |
10.1% | -78.1% | 0.53 | 0.13 | 1.6x | 44 | 53% |
| SMA 크로스오버 fast=24, slow=110 |
7.9% | -75.3% | 0.46 | 0.11 | 1.5x | 10 | 36% |
| Supertrend period=21, mult=3 |
3.9% | -80.5% | 0.42 | 0.05 | 1.2x | 26 | 37% |
| EMA 크로스오버 fast=11, slow=31 |
0.1% | -70.5% | 0.37 | 0.00 | 1.0x | 40 | 38% |
| Parabolic SAR step=0.015, maxStep=0.12 |
-2.4% | -79.1% | 0.35 | -0.03 | 0.9x | 90 | 39% |
| Buy and hold | -25.2% | -96.9% | 0.31 | -0.26 | 0.2x | 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 71 days
- Sell — Sell when price breaks below the lowest low of the last 11 days