Trend-Following Backtester · Guide · backtest 한국어
equity · US
Olema Pharmaceuticals, Inc. backtest
10 trend-following strategies were compared on the full daily history of Olema Pharmaceuticals, Inc.. 10 beat buy-and-hold CAGR; Donchian 채널 돌파 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is Keltner 채널 돌파 (CAGR 11.4%, MDD -14.4%).
Results by strategy
10 of 10 beat buy and hold (CAGR -23.6%, drawdown -96.3%).
Sharpe leader (same as main): Donchian 채널 돌파 — CAGR 44.5%, MDD -56.4%, Sharpe 0.77, 53% exposure.
Return/drawdown alternative: Keltner 채널 돌파 — CAGR is 68.1%p higher than buy and hold, while drawdown improves by 39.9%p (CAGR 11.4%, MDD -14.4%, exposure 3%).
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 |
|---|---|---|---|---|---|---|---|
| Donchian 채널 돌파 entryN=35, exitN=46 |
44.5% | -56.4% | 0.77 | 0.79 | 8.4x | 10 | 53% |
| Supertrend period=10, mult=4.7 |
40.0% | -52.8% | 0.73 | 0.76 | 7.0x | 10 | 47% |
| Keltner 채널 돌파 emaPeriod=10, atrPeriod=8, mult=2.9 |
11.4% | -14.4% | 0.73 | 0.79 | 1.9x | 4 | 3% |
| ADX / DI 방향성 period=27, threshold=19 |
38.8% | -50.3% | 0.71 | 0.77 | 6.7x | 26 | 25% |
| ROC 모멘텀 n=111, threshold=0.17 |
34.5% | -62.5% | 0.67 | 0.55 | 5.6x | 36 | 33% |
| 볼린저 밴드 돌파 n=14, k=2.5 |
19.6% | -37.8% | 0.67 | 0.52 | 2.8x | 30 | 13% |
| SMA 크로스오버 fast=34, slow=190 |
27.3% | -62.5% | 0.60 | 0.44 | 4.0x | 10 | 34% |
| EMA 크로스오버 fast=31, slow=103 |
27.0% | -59.3% | 0.60 | 0.45 | 4.0x | 8 | 33% |
| Parabolic SAR step=0.045, maxStep=0.34 |
14.7% | -88.2% | 0.53 | 0.17 | 2.2x | 203 | 47% |
| MACD fast=12, slow=26, signal=5 |
-0.8% | -91.7% | 0.32 | -0.01 | 1.0x | 134 | 48% |
| Buy and hold | -23.6% | -96.3% | 0.22 | -0.24 | 0.2x | 1 | 100% |
Rules of the top strategy
A new high means a trend starting; a new low means it’s over (turtle-trading style).
- Buy — Buy on a breakout above the highest high of the last 35 days
- Sell — Sell when price breaks below the lowest low of the last 46 days