Trend-Following Backtester · Guide · backtest 한국어
equity · US
Tectonic Therapeutic, Inc. backtest
10 trend-following strategies were compared on the full daily history of Tectonic Therapeutic, Inc.. 6 beat buy-and-hold CAGR; Keltner 채널 돌파 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is Keltner 채널 돌파 (CAGR 7.3%, MDD -9.9%).
Results by strategy
6 of 10 beat buy and hold (CAGR -27.4%, drawdown -99.8%).
Sharpe leader (same as main): Keltner 채널 돌파 — CAGR 7.3%, MDD -9.9%, Sharpe 0.66, 2% exposure.
Return/drawdown alternative: Keltner 채널 돌파 — CAGR is 34.7%p higher than buy and hold, while drawdown improves by 89.9%p (CAGR 7.3%, MDD -9.9%, exposure 2%).
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=13, atrPeriod=6, mult=3.2 |
7.3% | -9.9% | 0.66 | 0.74 | 1.8x | 2 | 2% |
| ADX / DI 방향성 period=30, threshold=28 |
3.1% | -18.6% | 0.44 | 0.17 | 1.3x | 4 | 1% |
| SMA 크로스오버 fast=54, slow=75 |
-3.1% | -98.0% | 0.37 | -0.03 | 0.8x | 33 | 40% |
| EMA 크로스오버 fast=53, slow=196 |
-5.0% | -97.2% | 0.34 | -0.05 | 0.7x | 9 | 26% |
| Supertrend period=18, mult=3.8 |
-30.5% | -98.2% | 0.02 | -0.31 | 0.1x | 28 | 44% |
| ROC 모멘텀 n=128, threshold=0.05 |
-16.5% | -88.1% | -0.02 | -0.19 | 0.2x | 81 | 33% |
| MACD fast=19, slow=46, signal=13 |
-25.2% | -97.7% | -0.06 | -0.26 | 0.1x | 92 | 52% |
| Donchian 채널 돌파 entryN=5, exitN=37 |
-45.9% | -99.8% | -0.08 | -0.46 | 0.0x | 47 | 79% |
| Parabolic SAR step=0.035, maxStep=0.26 |
-30.1% | -97.6% | -0.14 | -0.31 | 0.1x | 242 | 48% |
| 볼린저 밴드 돌파 n=46, k=1.4 |
-37.6% | -98.6% | -0.19 | -0.38 | 0.0x | 48 | 29% |
| Buy and hold | -27.4% | -99.8% | 0.35 | -0.27 | 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 13-day average + 3.2× volatility (Keltner top)
- Sell — Sell when the close falls back to the 13-day average