Trend-Following Backtester · Guide · backtest 한국어
equity · US
Prelude Therapeutics Incorporated backtest
10 trend-following strategies were compared on the full daily history of Prelude Therapeutics Incorporated. 10 beat buy-and-hold CAGR; ADX / DI 방향성 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is Keltner 채널 돌파 (CAGR -1.1%, MDD -63.3%).
Results by strategy
10 of 10 beat buy and hold (CAGR -25.8%, drawdown -99.3%).
Sharpe leader (same as main): ADX / DI 방향성 — CAGR 24.2%, MDD -70.1%, Sharpe 0.58, 16% exposure.
Return/drawdown alternative: Keltner 채널 돌파 — CAGR is 50.0%p higher than buy and hold, while drawdown improves by 29.2%p (CAGR -1.1%, MDD -63.3%, exposure 29%).
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 |
|---|---|---|---|---|---|---|---|
| ADX / DI 방향성 period=35, threshold=24 |
24.2% | -70.1% | 0.58 | 0.35 | 3.6x | 8 | 16% |
| SMA 크로스오버 fast=51, slow=186 |
13.8% | -73.9% | 0.53 | 0.19 | 2.1x | 5 | 32% |
| Supertrend period=8, mult=2.2 |
10.1% | -65.8% | 0.49 | 0.15 | 1.8x | 39 | 42% |
| Donchian 채널 돌파 entryN=33, exitN=74 |
1.2% | -89.9% | 0.46 | 0.01 | 1.1x | 11 | 54% |
| Parabolic SAR step=0.06, maxStep=0.12 |
4.6% | -91.2% | 0.43 | 0.05 | 1.3x | 191 | 43% |
| ROC 모멘텀 n=125, threshold=0 |
1.8% | -80.1% | 0.42 | 0.02 | 1.1x | 33 | 33% |
| EMA 크로스오버 fast=31, slow=32 |
-2.4% | -89.6% | 0.39 | -0.03 | 0.9x | 25 | 45% |
| Keltner 채널 돌파 emaPeriod=11, atrPeriod=18, mult=0.6 |
-1.1% | -63.3% | 0.34 | -0.02 | 0.9x | 103 | 29% |
| 볼린저 밴드 돌파 n=57, k=3.4 |
-1.1% | -66.2% | 0.26 | -0.02 | 0.9x | 6 | 8% |
| MACD fast=16, slow=93, signal=34 |
-20.4% | -89.6% | 0.20 | -0.23 | 0.3x | 34 | 55% |
| Buy and hold | -25.8% | -99.3% | 0.30 | -0.26 | 0.2x | 1 | 100% |
Rules of the top strategy
Looks at both the direction and the strength of the trend; holds only in a strong uptrend.
- Buy — Buy when up-direction (+DI) beats down-direction (−DI) and trend strength (ADX, 35-day) is ≥ 24
- Sell — Sell when direction flips or the trend weakens (ADX < 24)