Trend-Following Backtester · Guide · backtest 한국어
equity · US
LENZ Therapeutics, Inc. backtest
10 trend-following strategies were compared on the full daily history of LENZ Therapeutics, Inc.. 10 beat buy-and-hold CAGR; 볼린저 밴드 돌파 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is ADX / DI 방향성 (CAGR 0.0%, MDD -28.7%).
Results by strategy
10 of 10 beat buy and hold (CAGR -46.6%, drawdown -97.7%).
Sharpe leader (same as main): 볼린저 밴드 돌파 — CAGR 7.4%, MDD -31.7%, Sharpe 0.39, 22% exposure.
Return/drawdown alternative: ADX / DI 방향성 — CAGR is 54.0%p higher than buy and hold, while drawdown improves by 66.1%p (CAGR 0.0%, MDD -28.7%, exposure 4%).
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=32, k=2.2 |
7.4% | -31.7% | 0.39 | 0.23 | 1.4x | 20 | 22% |
| Supertrend period=30, mult=3.7 |
5.8% | -57.0% | 0.34 | 0.10 | 1.3x | 12 | 32% |
| Keltner 채널 돌파 emaPeriod=56, atrPeriod=23, mult=1.2 |
4.7% | -38.7% | 0.31 | 0.12 | 1.3x | 14 | 24% |
| SMA 크로스오버 fast=15, slow=76 |
3.5% | -45.4% | 0.29 | 0.08 | 1.2x | 16 | 35% |
| Donchian 채널 돌파 entryN=101, exitN=25 |
2.2% | -43.8% | 0.23 | 0.05 | 1.1x | 6 | 15% |
| ROC 모멘텀 n=63, threshold=-0.01 |
-1.0% | -42.4% | 0.19 | -0.02 | 1.0x | 36 | 39% |
| EMA 크로스오버 fast=19, slow=156 |
-1.7% | -43.1% | 0.15 | -0.04 | 0.9x | 6 | 26% |
| ADX / DI 방향성 period=23, threshold=29 |
0.0% | -28.7% | 0.08 | 0.00 | 1.0x | 4 | 4% |
| Parabolic SAR step=0.05, maxStep=0.22 |
-20.6% | -78.2% | -0.28 | -0.26 | 0.3x | 179 | 46% |
| MACD fast=11, slow=54, signal=14 |
-35.9% | -90.7% | -0.51 | -0.40 | 0.1x | 73 | 54% |
| Buy and hold | -46.6% | -97.7% | -0.44 | -0.48 | 0.0x | 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 32-day average (2.2× volatility)
- Sell — Sell when the close falls back to the 32-day middle average