Trend-Following Backtester · Guide · backtest 한국어
equity · US
Spruce Biosciences, Inc. backtest
10 trend-following strategies were compared on the full daily history of Spruce Biosciences, Inc.. 10 beat buy-and-hold CAGR; MACD ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is 볼린저 밴드 돌파 (CAGR 4.3%, MDD -30.2%).
Results by strategy
10 of 10 beat buy and hold (CAGR -73.5%, drawdown -100.0%).
Sharpe leader (same as main): MACD — CAGR 13.9%, MDD -88.0%, Sharpe 0.42, 55% exposure.
Return/drawdown alternative: 볼린저 밴드 돌파 — CAGR is 87.4%p higher than buy and hold, while drawdown improves by 12.0%p (CAGR 4.3%, MDD -30.2%, exposure 4%).
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 |
|---|---|---|---|---|---|---|---|
| MACD fast=6, slow=26, signal=16 |
13.9% | -88.0% | 0.42 | 0.16 | 2.1x | 98 | 55% |
| SMA 크로스오버 fast=6, slow=35 |
-46.8% | -99.8% | 0.38 | -0.47 | 0.0x | 44 | 31% |
| Donchian 채널 돌파 entryN=11, exitN=61 |
-54.0% | -99.9% | 0.37 | -0.54 | 0.0x | 26 | 57% |
| ROC 모멘텀 n=30, threshold=0 |
-51.2% | -99.8% | 0.36 | -0.51 | 0.0x | 108 | 30% |
| Parabolic SAR step=0.055, maxStep=0.3 |
-9.9% | -94.5% | 0.36 | -0.10 | 0.5x | 212 | 41% |
| 볼린저 밴드 돌파 n=12, k=3.2 |
4.3% | -30.2% | 0.28 | 0.14 | 1.3x | 8 | 4% |
| ADX / DI 방향성 period=17, threshold=21 |
-51.5% | -99.7% | 0.20 | -0.52 | 0.0x | 22 | 21% |
| Supertrend period=20, mult=1.9 |
-55.5% | -99.8% | 0.09 | -0.56 | 0.0x | 32 | 24% |
| Keltner 채널 돌파 emaPeriod=43, atrPeriod=25, mult=3.3 |
-16.2% | -85.3% | 0.05 | -0.19 | 0.4x | 4 | 6% |
| EMA 크로스오버 fast=43, slow=125 |
-24.0% | -87.2% | -0.16 | -0.27 | 0.2x | 4 | 17% |
| Buy and hold | -73.5% | -100.0% | 0.31 | -0.74 | 0.0x | 1 | 100% |
Rules of the top strategy
Looks at the gap (MACD) between a short and long average crossing its own signal line.
- Buy — Buy when the MACD line (6/26) crosses above its 16-day signal line
- Sell — Sell when the MACD line crosses back below the signal line