Trend-Following Backtester · Guide · backtest 한국어
equity · US
TG Therapeutics, Inc. backtest
10 trend-following strategies were compared on the full daily history of TG Therapeutics, Inc.. 9 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 19.8%, MDD -73.0%).
Results by strategy
9 of 10 beat buy and hold (CAGR -8.6%, drawdown -99.6%).
Sharpe leader (same as main): Keltner 채널 돌파 — CAGR 19.8%, MDD -73.0%, Sharpe 0.57, 34% exposure.
Return/drawdown alternative: Keltner 채널 돌파 — CAGR is 28.4%p higher than buy and hold, while drawdown improves by 26.5%p (CAGR 19.8%, MDD -73.0%, exposure 34%).
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=55, atrPeriod=23, mult=1.7 |
19.8% | -73.0% | 0.57 | 0.27 | 18.7x | 79 | 34% |
| EMA 크로스오버 fast=8, slow=123 |
18.3% | -78.9% | 0.57 | 0.23 | 15.4x | 37 | 49% |
| Donchian 채널 돌파 entryN=55, exitN=83 |
15.0% | -89.5% | 0.53 | 0.17 | 9.7x | 23 | 57% |
| 볼린저 밴드 돌파 n=85, k=1.6 |
16.9% | -83.1% | 0.53 | 0.20 | 12.7x | 39 | 37% |
| SMA 크로스오버 fast=37, slow=181 |
14.4% | -75.8% | 0.52 | 0.19 | 8.9x | 21 | 51% |
| ROC 모멘텀 n=113, threshold=0.11 |
13.3% | -86.8% | 0.49 | 0.15 | 7.6x | 87 | 46% |
| MACD fast=31, slow=73, signal=40 |
9.1% | -98.6% | 0.46 | 0.09 | 4.1x | 85 | 51% |
| ADX / DI 방향성 period=28, threshold=12 |
8.4% | -99.5% | 0.45 | 0.08 | 3.7x | 131 | 52% |
| Supertrend period=15, mult=5 |
13.8% | -98.8% | 0.40 | 0.14 | 8.2x | 43 | 55% |
| Parabolic SAR step=0.015, maxStep=0.16 |
-14.1% | -99.3% | 0.17 | -0.14 | 0.1x | 256 | 45% |
| Buy and hold | -8.6% | -99.6% | 0.51 | -0.09 | 0.2x | 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 55-day average + 1.7× volatility (Keltner top)
- Sell — Sell when the close falls back to the 55-day average