Trend-Following Backtester · Guide · backtest 한국어
equity · US
Protagonist Therapeutics, Inc. backtest
10 trend-following strategies were compared on the full daily history of Protagonist Therapeutics, Inc.. 0 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 25.5%, MDD -45.2%).
Results by strategy
0 of 10 beat buy and hold (CAGR 27.9%, drawdown -85.8%).
Sharpe leader (same as main): Donchian 채널 돌파 — CAGR 25.5%, MDD -45.2%, Sharpe 0.68, 39% exposure.
Return/drawdown alternative: Donchian 채널 돌파 — CAGR is 2.4%p lower than buy and hold, while drawdown improves by 40.6%p (CAGR 25.5%, MDD -45.2%, exposure 39%).
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=10 |
25.5% | -45.2% | 0.68 | 0.56 | 9.6x | 55 | 39% |
| SMA 크로스오버 fast=33, slow=92 |
21.4% | -75.7% | 0.65 | 0.28 | 6.9x | 23 | 62% |
| ADX / DI 방향성 period=34, threshold=8 |
22.6% | -82.9% | 0.63 | 0.27 | 7.6x | 89 | 59% |
| Supertrend period=9, mult=3.5 |
18.9% | -72.8% | 0.60 | 0.26 | 5.6x | 47 | 60% |
| EMA 크로스오버 fast=38, slow=128 |
16.1% | -73.9% | 0.59 | 0.22 | 4.4x | 13 | 57% |
| Keltner 채널 돌파 emaPeriod=26, atrPeriod=23, mult=1.9 |
19.6% | -59.8% | 0.58 | 0.33 | 6.0x | 67 | 36% |
| ROC 모멘텀 n=34, threshold=0.02 |
18.5% | -63.0% | 0.55 | 0.29 | 5.4x | 163 | 54% |
| Parabolic SAR step=0.045, maxStep=0.14 |
17.4% | -64.5% | 0.52 | 0.27 | 5.0x | 320 | 52% |
| 볼린저 밴드 돌파 n=34, k=2.2 |
15.1% | -58.2% | 0.50 | 0.26 | 4.1x | 55 | 36% |
| MACD fast=19, slow=55, signal=14 |
12.9% | -82.2% | 0.49 | 0.16 | 3.4x | 108 | 54% |
| Buy and hold | 27.9% | -85.8% | 0.71 | 0.33 | 11.6x | 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 10 days