Trend-Following Backtester · Guide · backtest 한국어
equity · US
Sutro Biopharma, Inc. backtest
10 trend-following strategies were compared on the full daily history of Sutro Biopharma, Inc.. 10 beat buy-and-hold CAGR; 볼린저 밴드 돌파 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is EMA 크로스오버 (CAGR 6.5%, MDD -44.8%).
Results by strategy
10 of 10 beat buy and hold (CAGR -21.0%, drawdown -98.1%).
Sharpe leader (same as main): 볼린저 밴드 돌파 — CAGR 9.8%, MDD -62.2%, Sharpe 0.46, 15% exposure.
Return/drawdown alternative: EMA 크로스오버 — CAGR is 30.8%p higher than buy and hold, while drawdown improves by 35.9%p (CAGR 6.5%, MDD -44.8%, exposure 23%).
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 |
|---|---|---|---|---|---|---|---|
| 볼린저 밴드 돌파 n=44, k=2.5 |
9.8% | -62.2% | 0.46 | 0.16 | 2.1x | 18 | 15% |
| Keltner 채널 돌파 emaPeriod=59, atrPeriod=21, mult=4 |
9.1% | -48.5% | 0.45 | 0.19 | 2.0x | 8 | 12% |
| ROC 모멘텀 n=125, threshold=0.11 |
8.1% | -61.6% | 0.39 | 0.13 | 1.8x | 67 | 27% |
| SMA 크로스오버 fast=37, slow=112 |
7.6% | -71.2% | 0.39 | 0.11 | 1.8x | 16 | 43% |
| EMA 크로스오버 fast=65, slow=207 |
6.5% | -44.8% | 0.35 | 0.14 | 1.6x | 5 | 23% |
| ADX / DI 방향성 period=21, threshold=12 |
-0.9% | -84.1% | 0.27 | -0.01 | 0.9x | 98 | 46% |
| Donchian 채널 돌파 entryN=98, exitN=10 |
2.1% | -75.4% | 0.22 | 0.03 | 1.2x | 18 | 14% |
| Supertrend period=28, mult=4.3 |
-6.9% | -83.2% | 0.15 | -0.08 | 0.6x | 24 | 50% |
| Parabolic SAR step=0.025, maxStep=0.1 |
-11.0% | -88.0% | 0.09 | -0.12 | 0.4x | 158 | 45% |
| MACD fast=12, slow=22, signal=11 |
-15.1% | -89.6% | 0.03 | -0.17 | 0.3x | 138 | 50% |
| Buy and hold | -21.0% | -98.1% | 0.15 | -0.21 | 0.2x | 1 | 100% |
Rules of the top strategy
Breaking above the upper band (average plus a multiple of volatility) signals a strong move up.
- Buy — Buy when the close breaks above the upper band of the 44-day average (2.5× volatility)
- Sell — Sell when the close falls back to the 44-day middle average