Trend-Following Backtester · Guide · backtest 한국어
equity · US
MoonLake Immunotherapeutics backtest
10 trend-following strategies were compared on the full daily history of MoonLake Immunotherapeutics. 3 beat buy-and-hold CAGR; Keltner 채널 돌파 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is Keltner 채널 돌파 (CAGR 28.1%, MDD -31.4%).
Results by strategy
3 of 10 beat buy and hold (CAGR 6.3%, drawdown -90.2%).
Sharpe leader (same as main): Keltner 채널 돌파 — CAGR 28.1%, MDD -31.4%, Sharpe 0.77, 16% exposure.
CAGR reference leader: Supertrend — CAGR 28.1%, MDD -70.8%, exposure 67%.
Return/drawdown alternative: Keltner 채널 돌파 — CAGR is 21.9%p higher than buy and hold, while drawdown improves by 58.8%p (CAGR 28.1%, MDD -31.4%, exposure 16%).
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 |
|---|---|---|---|---|---|---|---|
| Keltner 채널 돌파 emaPeriod=51, atrPeriod=12, mult=3.9 |
28.1% | -31.4% | 0.77 | 0.89 | 4.3x | 4 | 16% |
| Supertrend period=15, mult=3.8 |
28.1% | -70.8% | 0.69 | 0.40 | 4.3x | 18 | 67% |
| Donchian 채널 돌파 entryN=4, exitN=43 |
4.8% | -90.4% | 0.65 | 0.05 | 1.3x | 26 | 86% |
| SMA 크로스오버 fast=36, slow=68 |
-3.4% | -92.6% | 0.53 | -0.04 | 0.8x | 26 | 58% |
| ROC 모멘텀 n=117, threshold=0.15 |
-10.4% | -92.1% | 0.39 | -0.11 | 0.5x | 44 | 35% |
| EMA 크로스오버 fast=42, slow=147 |
-12.3% | -90.3% | 0.38 | -0.14 | 0.5x | 8 | 38% |
| ADX / DI 방향성 period=36, threshold=20 |
8.0% | -49.6% | 0.37 | 0.16 | 1.6x | 12 | 14% |
| 볼린저 밴드 돌파 n=55, k=3.3 |
2.3% | -52.3% | 0.25 | 0.04 | 1.1x | 14 | 18% |
| MACD fast=18, slow=48, signal=15 |
-4.7% | -66.5% | 0.18 | -0.07 | 0.8x | 78 | 52% |
| Parabolic SAR step=0.035, maxStep=0.1 |
-36.8% | -96.4% | -0.10 | -0.38 | 0.1x | 148 | 45% |
| Buy and hold | 6.3% | -90.2% | 0.68 | 0.07 | 1.4x | 1 | 100% |
Rules of the top strategy
Breaking above the channel top (average plus a multiple of volatility) signals an upside breakout.
- Buy — Buy when the close breaks above the 51-day average + 3.9× volatility (Keltner top)
- Sell — Sell when the close falls back to the 51-day average