Trend-Following Backtester · Guide · backtest 한국어
equity · US
Orchestra BioMed Holdings, Inc. backtest
10 trend-following strategies were compared on the full daily history of Orchestra BioMed Holdings, Inc.. 10 beat buy-and-hold CAGR; MACD ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is Donchian 채널 돌파 (CAGR 4.1%, MDD -37.9%).
Results by strategy
10 of 10 beat buy and hold (CAGR -16.2%, drawdown -89.4%).
Sharpe leader (same as main): MACD — CAGR 4.5%, MDD -60.4%, Sharpe 0.37, 54% exposure.
Return/drawdown alternative: Donchian 채널 돌파 — CAGR is 20.7%p higher than buy and hold, while drawdown improves by 29.0%p (CAGR 4.1%, MDD -37.9%, exposure 11%).
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=19, slow=59, signal=19 |
4.5% | -60.4% | 0.37 | 0.08 | 1.3x | 46 | 54% |
| Donchian 채널 돌파 entryN=114, exitN=12 |
4.1% | -37.9% | 0.28 | 0.11 | 1.3x | 8 | 11% |
| SMA 크로스오버 fast=12, slow=30 |
-0.4% | -57.6% | 0.28 | -0.01 | 1.0x | 52 | 46% |
| Keltner 채널 돌파 emaPeriod=33, atrPeriod=26, mult=1.7 |
-3.3% | -52.0% | 0.15 | -0.06 | 0.8x | 32 | 18% |
| 볼린저 밴드 돌파 n=35, k=1.1 |
-7.5% | -66.2% | 0.11 | -0.11 | 0.6x | 64 | 33% |
| ROC 모멘텀 n=35, threshold=0.03 |
-8.8% | -65.2% | 0.11 | -0.13 | 0.6x | 72 | 26% |
| ADX / DI 방향성 period=18, threshold=17 |
-9.8% | -82.3% | 0.09 | -0.12 | 0.5x | 58 | 41% |
| Parabolic SAR step=0.035, maxStep=0.22 |
-9.9% | -73.0% | 0.08 | -0.14 | 0.5x | 157 | 49% |
| Supertrend period=15, mult=3.5 |
-12.9% | -70.8% | 0.04 | -0.18 | 0.4x | 26 | 45% |
| EMA 크로스오버 fast=19, slow=71 |
-14.4% | -76.4% | -0.03 | -0.19 | 0.4x | 24 | 37% |
| Buy and hold | -16.2% | -89.4% | 0.18 | -0.18 | 0.3x | 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 (19/59) crosses above its 19-day signal line
- Sell — Sell when the MACD line crosses back below the signal line