Trend-Following Backtester · Guide · backtest 한국어
equity · US
Tarsus Pharmaceuticals, Inc. backtest
10 trend-following strategies were compared on the full daily history of Tarsus Pharmaceuticals, Inc.. 1 beat buy-and-hold CAGR; Supertrend ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is Supertrend (CAGR 26.2%, MDD -51.5%).
Results by strategy
1 of 10 beat buy and hold (CAGR 24.3%, drawdown -77.7%).
Sharpe leader (same as main): Supertrend — CAGR 26.2%, MDD -51.5%, Sharpe 0.76, 47% exposure.
Return/drawdown alternative: Supertrend — CAGR is 1.9%p higher than buy and hold, while drawdown improves by 26.2%p (CAGR 26.2%, MDD -51.5%, exposure 47%).
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 |
|---|---|---|---|---|---|---|---|
| Supertrend period=29, mult=1.7 |
26.2% | -51.5% | 0.76 | 0.51 | 3.9x | 65 | 47% |
| Donchian 채널 돌파 entryN=73, exitN=25 |
18.7% | -36.4% | 0.73 | 0.52 | 2.7x | 9 | 27% |
| Keltner 채널 돌파 emaPeriod=51, atrPeriod=28, mult=3.3 |
17.5% | -30.5% | 0.73 | 0.57 | 2.6x | 10 | 19% |
| Parabolic SAR step=0.03, maxStep=0.14 |
19.1% | -66.8% | 0.61 | 0.29 | 2.8x | 146 | 51% |
| 볼린저 밴드 돌파 n=53, k=1.9 |
14.0% | -52.8% | 0.57 | 0.26 | 2.2x | 19 | 28% |
| EMA 크로스오버 fast=24, slow=32 |
14.9% | -62.4% | 0.54 | 0.24 | 2.3x | 31 | 49% |
| SMA 크로스오버 fast=14, slow=88 |
13.7% | -52.6% | 0.53 | 0.26 | 2.1x | 19 | 41% |
| ADX / DI 방향성 period=12, threshold=38 |
7.3% | -29.4% | 0.46 | 0.25 | 1.5x | 16 | 11% |
| ROC 모멘텀 n=112, threshold=0.05 |
6.9% | -40.1% | 0.37 | 0.17 | 1.5x | 47 | 41% |
| MACD fast=19, slow=23, signal=16 |
3.0% | -60.2% | 0.30 | 0.05 | 1.2x | 79 | 51% |
| Buy and hold | 24.3% | -77.7% | 0.66 | 0.31 | 3.6x | 1 | 100% |
Rules of the top strategy
Trades the direction of a volatility-based trend line that trails below/above price.
- Buy — Buy when price moves above the trend line (flips up) — 29-day volatility, 1.7× band
- Sell — Sell when price drops below the trend line (flips down)