Trend-Following Backtester · Guide · backtest 한국어
equity · US
Sana Biotechnology, Inc. backtest
10 trend-following strategies were compared on the full daily history of Sana Biotechnology, Inc.. 10 beat buy-and-hold CAGR; Keltner 채널 돌파 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is 볼린저 밴드 돌파 (CAGR 13.8%, MDD -41.7%).
Results by strategy
10 of 10 beat buy and hold (CAGR -32.8%, drawdown -96.9%).
Sharpe leader (same as main): Keltner 채널 돌파 — CAGR 23.9%, MDD -62.9%, Sharpe 0.66, 21% exposure.
CAGR reference leader: ADX / DI 방향성 — CAGR 29.2%, MDD -52.6%, exposure 43%.
Return/drawdown alternative: 볼린저 밴드 돌파 — CAGR is 56.6%p higher than buy and hold, while drawdown improves by 34.0%p (CAGR 13.8%, MDD -41.7%, exposure 19%).
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=12, atrPeriod=10, mult=1.1 |
23.9% | -62.9% | 0.66 | 0.38 | 3.3x | 49 | 21% |
| ADX / DI 방향성 period=4, threshold=25 |
29.2% | -52.6% | 0.62 | 0.56 | 4.2x | 193 | 43% |
| MACD fast=14, slow=34, signal=15 |
27.1% | -72.8% | 0.60 | 0.37 | 3.8x | 63 | 46% |
| Supertrend period=22, mult=1.7 |
17.8% | -69.9% | 0.56 | 0.26 | 2.5x | 61 | 34% |
| 볼린저 밴드 돌파 n=13, k=2.2 |
13.8% | -41.7% | 0.50 | 0.33 | 2.1x | 45 | 19% |
| ROC 모멘텀 n=72, threshold=0.13 |
9.3% | -44.7% | 0.42 | 0.21 | 1.6x | 51 | 28% |
| Parabolic SAR step=0.02, maxStep=0.28 |
7.7% | -80.0% | 0.42 | 0.10 | 1.5x | 121 | 42% |
| EMA 크로스오버 fast=41, slow=48 |
3.7% | -50.9% | 0.34 | 0.07 | 1.2x | 15 | 33% |
| Donchian 채널 돌파 entryN=74, exitN=53 |
3.9% | -59.7% | 0.32 | 0.06 | 1.2x | 7 | 28% |
| SMA 크로스오버 fast=21, slow=183 |
-0.7% | -53.6% | 0.23 | -0.01 | 1.0x | 7 | 27% |
| Buy and hold | -32.8% | -96.9% | 0.13 | -0.34 | 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 12-day average + 1.1× volatility (Keltner top)
- Sell — Sell when the close falls back to the 12-day average