Trend-Following Backtester · Guide · backtest 한국어
equity · US
Recursion Pharmaceuticals, Inc. backtest
10 trend-following strategies were compared on the full daily history of Recursion Pharmaceuticals, Inc.. 10 beat buy-and-hold CAGR; Keltner 채널 돌파 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is Keltner 채널 돌파 (CAGR 2.1%, MDD -14.5%).
Results by strategy
10 of 10 beat buy and hold (CAGR -35.9%, drawdown -93.1%).
Sharpe leader (same as main): Keltner 채널 돌파 — CAGR 2.1%, MDD -14.5%, Sharpe 0.24, 1% exposure.
Return/drawdown alternative: Keltner 채널 돌파 — CAGR is 38.0%p higher than buy and hold, while drawdown improves by 78.6%p (CAGR 2.1%, MDD -14.5%, exposure 1%).
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 |
|---|---|---|---|---|---|---|---|
| Keltner 채널 돌파 emaPeriod=7, atrPeriod=25, mult=3.9 |
2.1% | -14.5% | 0.24 | 0.15 | 1.1x | 2 | 1% |
| 볼린저 밴드 돌파 n=13, k=2.8 |
1.8% | -40.1% | 0.19 | 0.05 | 1.1x | 12 | 5% |
| Supertrend period=17, mult=2 |
-7.1% | -81.2% | 0.16 | -0.09 | 0.7x | 58 | 38% |
| SMA 크로스오버 fast=52, slow=99 |
-7.1% | -81.4% | 0.13 | -0.09 | 0.7x | 12 | 28% |
| ADX / DI 방향성 period=26, threshold=15 |
-8.5% | -75.1% | 0.13 | -0.11 | 0.6x | 34 | 29% |
| Parabolic SAR step=0.04, maxStep=0.38 |
-16.7% | -87.5% | 0.07 | -0.19 | 0.4x | 172 | 45% |
| Donchian 채널 돌파 entryN=18, exitN=39 |
-22.1% | -81.4% | -0.01 | -0.27 | 0.3x | 25 | 51% |
| MACD fast=12, slow=31, signal=12 |
-27.2% | -86.0% | -0.15 | -0.32 | 0.2x | 74 | 50% |
| ROC 모멘텀 n=48, threshold=0.07 |
-22.2% | -83.9% | -0.16 | -0.26 | 0.3x | 60 | 27% |
| EMA 크로스오버 fast=35, slow=100 |
-20.1% | -76.8% | -0.18 | -0.26 | 0.3x | 10 | 20% |
| Buy and hold | -35.9% | -93.1% | -0.04 | -0.39 | 0.1x | 1 | 100% |
Rules of the top strategy
Breaking above the channel top (average plus a multiple of volatility) signals an upside breakout.
- Buy — Buy when the close breaks above the 7-day average + 3.9× volatility (Keltner top)
- Sell — Sell when the close falls back to the 7-day average