Trend-Following Backtester · Guide · backtest 한국어
equity · US
Trevi Therapeutics, Inc. backtest
10 trend-following strategies were compared on the full daily history of Trevi Therapeutics, Inc.. 9 beat buy-and-hold CAGR; 볼린저 밴드 돌파 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is 볼린저 밴드 돌파 (CAGR 39.2%, MDD -32.3%).
Results by strategy
9 of 10 beat buy and hold (CAGR 10.6%, drawdown -95.5%).
Sharpe leader (same as main): 볼린저 밴드 돌파 — CAGR 39.2%, MDD -32.3%, Sharpe 1.00, 14% exposure.
Return/drawdown alternative: 볼린저 밴드 돌파 — CAGR is 28.6%p higher than buy and hold, while drawdown improves by 63.2%p (CAGR 39.2%, MDD -32.3%, exposure 14%).
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=24, k=3.3 |
39.2% | -32.3% | 1.00 | 1.22 | 11.3x | 18 | 14% |
| Donchian 채널 돌파 entryN=37, exitN=78 |
38.3% | -73.1% | 0.79 | 0.52 | 10.7x | 9 | 62% |
| Keltner 채널 돌파 emaPeriod=11, atrPeriod=10, mult=1.9 |
23.7% | -42.1% | 0.79 | 0.56 | 4.7x | 28 | 11% |
| ROC 모멘텀 n=37, threshold=0.02 |
31.8% | -72.3% | 0.74 | 0.44 | 7.6x | 122 | 44% |
| Supertrend period=5, mult=4.4 |
31.5% | -68.2% | 0.72 | 0.46 | 7.4x | 15 | 56% |
| SMA 크로스오버 fast=35, slow=52 |
29.6% | -63.2% | 0.71 | 0.47 | 6.7x | 33 | 48% |
| EMA 크로스오버 fast=7, slow=119 |
18.6% | -73.7% | 0.57 | 0.25 | 3.5x | 15 | 51% |
| ADX / DI 방향성 period=33, threshold=10 |
16.0% | -76.1% | 0.54 | 0.21 | 3.0x | 59 | 51% |
| Parabolic SAR step=0.05, maxStep=0.06 |
10.8% | -83.2% | 0.46 | 0.13 | 2.1x | 134 | 44% |
| MACD fast=17, slow=32, signal=15 |
9.4% | -87.6% | 0.44 | 0.11 | 1.9x | 96 | 48% |
| Buy and hold | 10.6% | -95.5% | 0.55 | 0.11 | 2.1x | 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 24-day average (3.3× volatility)
- Sell — Sell when the close falls back to the 24-day middle average