Trend-Following Backtester · Guide · backtest 한국어
equity · US
Twist Bioscience Corporation backtest
10 trend-following strategies were compared on the full daily history of Twist Bioscience Corporation. 4 beat buy-and-hold CAGR; SMA 크로스오버 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is Donchian 채널 돌파 (CAGR 30.4%, MDD -39.7%).
Results by strategy
4 of 10 beat buy and hold (CAGR 34.0%, drawdown -94.5%).
Sharpe leader (same as main): SMA 크로스오버 — CAGR 47.0%, MDD -59.2%, Sharpe 0.98, 47% exposure.
Return/drawdown alternative: Donchian 채널 돌파 — CAGR is 13.0%p higher than buy and hold, while drawdown improves by 35.3%p (CAGR 30.4%, MDD -39.7%, exposure 25%).
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 |
|---|---|---|---|---|---|---|---|
| SMA 크로스오버 fast=55, slow=192 |
47.0% | -59.2% | 0.98 | 0.79 | 20.4x | 7 | 47% |
| ROC 모멘텀 n=145, threshold=-0.03 |
42.5% | -65.4% | 0.93 | 0.65 | 16.0x | 57 | 51% |
| Donchian 채널 돌파 entryN=109, exitN=27 |
30.4% | -39.7% | 0.87 | 0.77 | 8.0x | 11 | 25% |
| ADX / DI 방향성 period=38, threshold=12 |
34.7% | -63.1% | 0.85 | 0.55 | 10.3x | 45 | 39% |
| EMA 크로스오버 fast=53, slow=127 |
34.2% | -77.4% | 0.81 | 0.44 | 10.0x | 13 | 49% |
| Keltner 채널 돌파 emaPeriod=52, atrPeriod=21, mult=1.8 |
28.2% | -58.8% | 0.77 | 0.48 | 7.0x | 35 | 36% |
| Supertrend period=20, mult=4.9 |
28.2% | -64.5% | 0.74 | 0.44 | 7.0x | 21 | 46% |
| Parabolic SAR step=0.02, maxStep=0.04 |
29.5% | -69.7% | 0.74 | 0.42 | 7.6x | 87 | 51% |
| 볼린저 밴드 돌파 n=36, k=1.2 |
25.6% | -56.4% | 0.71 | 0.45 | 5.9x | 57 | 38% |
| MACD fast=17, slow=54, signal=15 |
11.7% | -83.3% | 0.47 | 0.14 | 2.4x | 89 | 51% |
| Buy and hold | 34.0% | -94.5% | 0.76 | 0.36 | 9.9x | 1 | 100% |
Rules of the top strategy
When the short average rises above the long average, it reads that as an uptrend starting.
- Buy — Buy when the 55-day average price crosses above the 192-day average
- Sell — Sell (to cash) when the 55-day average falls below the 192-day average