Trend-Following Backtester · Guide · backtest 한국어
equity · US
Pulse Biosciences, Inc backtest
10 trend-following strategies were compared on the full daily history of Pulse Biosciences, Inc. 7 beat buy-and-hold CAGR; Donchian 채널 돌파 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is Donchian 채널 돌파 (CAGR 57.1%, MDD -59.8%).
Results by strategy
7 of 10 beat buy and hold (CAGR 27.3%, drawdown -97.2%).
Sharpe leader (same as main): Donchian 채널 돌파 — CAGR 57.1%, MDD -59.8%, Sharpe 0.99, 55% exposure.
Return/drawdown alternative: Donchian 채널 돌파 — CAGR is 29.8%p higher than buy and hold, while drawdown improves by 37.4%p (CAGR 57.1%, MDD -59.8%, exposure 55%).
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=24, exitN=27 |
57.1% | -59.8% | 0.99 | 0.95 | 104.2x | 35 | 55% |
| Supertrend period=27, mult=4.1 |
40.9% | -73.2% | 0.86 | 0.56 | 34.1x | 35 | 44% |
| SMA 크로스오버 fast=57, slow=83 |
41.2% | -65.2% | 0.86 | 0.63 | 34.9x | 37 | 54% |
| ADX / DI 방향성 period=26, threshold=13 |
38.7% | -65.4% | 0.83 | 0.59 | 29.0x | 73 | 50% |
| Keltner 채널 돌파 emaPeriod=11, atrPeriod=24, mult=3.6 |
20.2% | -30.8% | 0.77 | 0.66 | 6.7x | 10 | 4% |
| Parabolic SAR step=0.055, maxStep=0.12 |
34.5% | -75.7% | 0.77 | 0.46 | 21.1x | 310 | 46% |
| EMA 크로스오버 fast=27, slow=56 |
32.2% | -79.6% | 0.75 | 0.41 | 17.7x | 31 | 55% |
| ROC 모멘텀 n=53, threshold=-0.01 |
32.5% | -74.7% | 0.74 | 0.44 | 18.1x | 153 | 54% |
| 볼린저 밴드 돌파 n=26, k=2.8 |
22.7% | -67.1% | 0.67 | 0.34 | 8.2x | 43 | 17% |
| MACD fast=16, slow=49, signal=9 |
20.7% | -88.2% | 0.61 | 0.23 | 6.9x | 139 | 51% |
| Buy and hold | 27.3% | -97.2% | 0.71 | 0.28 | 12.0x | 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 24 days
- Sell — Sell when price breaks below the lowest low of the last 27 days