Trend-Following Backtester · Guide · backtest 한국어
equity · US
Shattuck Labs, Inc. backtest
10 trend-following strategies were compared on the full daily history of Shattuck Labs, 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 23.8%, MDD -20.8%).
Results by strategy
10 of 10 beat buy and hold (CAGR -16.0%, drawdown -98.7%).
Sharpe leader (same as main): Donchian 채널 돌파 — CAGR 34.9%, MDD -31.7%, Sharpe 0.93, 18% exposure.
CAGR reference leader: 볼린저 밴드 돌파 — CAGR 57.2%, MDD -46.9%, exposure 22%.
Return/drawdown alternative: Keltner 채널 돌파 — CAGR is 50.9%p higher than buy and hold, while drawdown improves by 67.1%p (CAGR 23.8%, MDD -20.8%, exposure 9%).
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=114, exitN=23 |
34.9% | -31.7% | 0.93 | 1.10 | 5.7x | 6 | 18% |
| 볼린저 밴드 돌파 n=35, k=1.9 |
57.2% | -46.9% | 0.88 | 1.22 | 13.8x | 22 | 22% |
| EMA 크로스오버 fast=18, slow=45 |
51.5% | -61.2% | 0.83 | 0.84 | 11.1x | 17 | 35% |
| SMA 크로스오버 fast=14, slow=60 |
50.8% | -55.5% | 0.83 | 0.92 | 10.9x | 23 | 35% |
| ROC 모멘텀 n=87, threshold=0.23 |
33.6% | -43.0% | 0.83 | 0.78 | 5.4x | 22 | 27% |
| Keltner 채널 돌파 emaPeriod=16, atrPeriod=10, mult=3.3 |
23.8% | -20.8% | 0.82 | 1.14 | 3.5x | 8 | 9% |
| Supertrend period=25, mult=3.2 |
47.4% | -72.8% | 0.80 | 0.65 | 9.5x | 21 | 31% |
| ADX / DI 방향성 period=15, threshold=15 |
37.1% | -80.0% | 0.72 | 0.46 | 6.3x | 81 | 43% |
| Parabolic SAR step=0.005, maxStep=0.38 |
31.5% | -77.2% | 0.66 | 0.41 | 4.9x | 49 | 38% |
| MACD fast=17, slow=56, signal=8 |
22.7% | -86.9% | 0.61 | 0.26 | 3.3x | 55 | 55% |
| Buy and hold | -16.0% | -98.7% | 0.35 | -0.16 | 0.4x | 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 114 days
- Sell — Sell when price breaks below the lowest low of the last 23 days