Trend-Following Backtester · Guide · backtest 한국어
equity · US
Kodiak Sciences Inc backtest
10 trend-following strategies were compared on the full daily history of Kodiak Sciences Inc. 10 beat buy-and-hold CAGR; MACD ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is Keltner 채널 돌파 (CAGR 89.4%, MDD -47.5%).
Results by strategy
10 of 10 beat buy and hold (CAGR 17.8%, drawdown -99.1%).
Sharpe leader (same as main): MACD — CAGR 108.9%, MDD -58.2%, Sharpe 1.34, 57% exposure.
CAGR reference leader: ROC 모멘텀 — CAGR 112.8%, MDD -52.9%, exposure 56%.
Return/drawdown alternative: Keltner 채널 돌파 — CAGR is 91.1%p higher than buy and hold, while drawdown improves by 40.9%p (CAGR 89.4%, MDD -47.5%, exposure 34%).
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=16, slow=58, signal=24 |
108.9% | -58.2% | 1.34 | 1.87 | 338.5x | 52 | 57% |
| 볼린저 밴드 돌파 n=39, k=2.3 |
99.8% | -57.0% | 1.32 | 1.75 | 238.0x | 28 | 37% |
| EMA 크로스오버 fast=7, slow=22 |
108.1% | -60.5% | 1.32 | 1.79 | 328.3x | 58 | 52% |
| SMA 크로스오버 fast=11, slow=35 |
108.0% | -53.9% | 1.32 | 2.00 | 327.0x | 44 | 52% |
| ROC 모멘텀 n=27, threshold=-0.02 |
112.8% | -52.9% | 1.30 | 2.13 | 392.2x | 104 | 56% |
| Keltner 채널 돌파 emaPeriod=47, atrPeriod=11, mult=2.1 |
89.4% | -47.5% | 1.26 | 1.88 | 156.2x | 26 | 34% |
| Donchian 채널 돌파 entryN=24, exitN=33 |
84.8% | -67.3% | 1.15 | 1.26 | 128.7x | 27 | 60% |
| Supertrend period=9, mult=2.7 |
74.8% | -62.3% | 1.09 | 1.20 | 82.9x | 48 | 52% |
| Parabolic SAR step=0.005, maxStep=0.12 |
68.3% | -55.4% | 1.06 | 1.23 | 61.2x | 64 | 49% |
| ADX / DI 방향성 period=17, threshold=6 |
63.8% | -77.2% | 1.00 | 0.83 | 49.4x | 118 | 57% |
| Buy and hold | 17.8% | -99.1% | 0.71 | 0.18 | 3.7x | 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 (16/58) crosses above its 24-day signal line
- Sell — Sell when the MACD line crosses back below the signal line