Trend-Following Backtester · Guide · backtest 한국어
equity · US
Cartesian Therapeutics, Inc. backtest
10 trend-following strategies were compared on the full daily history of Cartesian Therapeutics, 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 2.3%, MDD -29.1%).
Results by strategy
10 of 10 beat buy and hold (CAGR -32.6%, drawdown -99.3%).
Sharpe leader (same as main): Donchian 채널 돌파 — CAGR 8.0%, MDD -48.2%, Sharpe 0.43, 8% exposure.
Return/drawdown alternative: Keltner 채널 돌파 — CAGR is 40.6%p higher than buy and hold, while drawdown improves by 51.0%p (CAGR 2.3%, MDD -29.1%, 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=71, exitN=4 |
8.0% | -48.2% | 0.43 | 0.17 | 2.2x | 28 | 8% |
| 볼린저 밴드 돌파 n=31, k=3.5 |
5.0% | -48.0% | 0.31 | 0.10 | 1.6x | 12 | 8% |
| MACD fast=15, slow=57, signal=7 |
-4.1% | -82.0% | 0.26 | -0.05 | 0.7x | 154 | 53% |
| Keltner 채널 돌파 emaPeriod=20, atrPeriod=14, mult=3.8 |
2.3% | -29.1% | 0.22 | 0.08 | 1.3x | 6 | 3% |
| Parabolic SAR step=0.01, maxStep=0.28 |
-6.2% | -81.8% | 0.18 | -0.08 | 0.5x | 124 | 42% |
| Supertrend period=26, mult=2.4 |
-6.3% | -84.3% | 0.17 | -0.07 | 0.5x | 76 | 40% |
| ADX / DI 방향성 period=13, threshold=28 |
-2.6% | -66.8% | 0.13 | -0.04 | 0.8x | 54 | 18% |
| SMA 크로스오버 fast=7, slow=21 |
-12.7% | -91.7% | 0.08 | -0.14 | 0.3x | 126 | 45% |
| ROC 모멘텀 n=18, threshold=0.04 |
-12.4% | -88.3% | 0.06 | -0.14 | 0.3x | 258 | 37% |
| EMA 크로스오버 fast=18, slow=29 |
-19.9% | -94.3% | -0.08 | -0.21 | 0.1x | 62 | 40% |
| Buy and hold | -32.6% | -99.3% | 0.03 | -0.33 | 0.0x | 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 71 days
- Sell — Sell when price breaks below the lowest low of the last 4 days