Trend-Following Backtester · Guide · backtest 한국어
equity · US
Nautilus Biotechnology, Inc. backtest
10 trend-following strategies were compared on the full daily history of Nautilus Biotechnology, Inc.. 9 beat buy-and-hold CAGR; Supertrend ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is Supertrend (CAGR 28.1%, MDD -50.4%).
Results by strategy
9 of 10 beat buy and hold (CAGR -32.5%, drawdown -97.2%).
Sharpe leader (same as main): Supertrend — CAGR 28.1%, MDD -50.4%, Sharpe 0.65, 25% exposure.
Return/drawdown alternative: Supertrend — CAGR is 60.6%p higher than buy and hold, while drawdown improves by 46.7%p (CAGR 28.1%, MDD -50.4%, exposure 25%).
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 |
|---|---|---|---|---|---|---|---|
| Supertrend period=29, mult=4.8 |
28.1% | -50.4% | 0.65 | 0.56 | 4.5x | 8 | 25% |
| SMA 크로스오버 fast=13, slow=110 |
19.3% | -61.0% | 0.54 | 0.32 | 2.9x | 14 | 32% |
| EMA 크로스오버 fast=28, slow=71 |
17.6% | -57.0% | 0.52 | 0.31 | 2.7x | 12 | 33% |
| Keltner 채널 돌파 emaPeriod=55, atrPeriod=15, mult=1.6 |
13.8% | -68.8% | 0.46 | 0.20 | 2.2x | 20 | 21% |
| ADX / DI 방향성 period=19, threshold=21 |
13.7% | -69.4% | 0.46 | 0.20 | 2.2x | 24 | 21% |
| 볼린저 밴드 돌파 n=54, k=2.7 |
13.0% | -51.3% | 0.44 | 0.25 | 2.1x | 10 | 14% |
| Donchian 채널 돌파 entryN=75, exitN=33 |
11.8% | -59.8% | 0.44 | 0.20 | 2.0x | 8 | 26% |
| ROC 모멘텀 n=97, threshold=-0.02 |
7.3% | -69.6% | 0.39 | 0.10 | 1.5x | 42 | 36% |
| MACD fast=17, slow=37, signal=14 |
-24.4% | -92.0% | -0.18 | -0.27 | 0.2x | 73 | 48% |
| Parabolic SAR step=0.05, maxStep=0.26 |
-33.7% | -96.7% | -0.31 | -0.35 | 0.1x | 221 | 40% |
| Buy and hold | -32.5% | -97.2% | -0.06 | -0.33 | 0.1x | 1 | 100% |
Rules of the top strategy
Trades the direction of a volatility-based trend line that trails below/above price.
- Buy — Buy when price moves above the trend line (flips up) — 29-day volatility, 4.8× band
- Sell — Sell when price drops below the trend line (flips down)