Trend-Following Backtester · Guide · backtest 한국어

equity · US

Vera Therapeutics, Inc. backtest

10 trend-following strategies were compared on the full daily history of Vera Therapeutics, Inc.. 5 beat buy-and-hold CAGR; Donchian 채널 돌파 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is Donchian 채널 돌파 (CAGR 29.2%, MDD -51.3%).

Data 2021-05-14 ~ 2026-07-31daily bars 1,309 (5.2 years)Costs 0.5%Venue XNASMonthly snapshot 2026-07-31

Results by strategy

5 of 10 beat buy and hold (CAGR 21.7%, drawdown -84.9%).

Sharpe leader (same as main): Donchian 채널 돌파 — CAGR 29.2%, MDD -51.3%, Sharpe 0.76, 20% exposure.

Return/drawdown alternative: Donchian 채널 돌파 — CAGR is 7.6%p higher than buy and hold, while drawdown improves by 33.6%p (CAGR 29.2%, MDD -51.3%, exposure 20%).

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 · parametersCAGRMDDSharpeCalmarTotalTradesExposure
Donchian 채널 돌파
entryN=76, exitN=13
29.2%-51.3%0.760.573.8x1420%
MACD
fast=18, slow=55, signal=19
28.3%-74.6%0.730.383.7x3848%
ROC 모멘텀
n=77, threshold=-0.02
23.6%-63.3%0.640.373.0x5848%
Keltner 채널 돌파
emaPeriod=7, atrPeriod=17, mult=2.3
14.1%-34.0%0.630.422.0x105%
ADX / DI 방향성
period=29, threshold=15
22.6%-59.8%0.630.382.9x3242%
SMA 크로스오버
fast=42, slow=75
22.5%-73.8%0.620.312.9x1845%
Parabolic SAR
step=0.01, maxStep=0.36
17.4%-82.9%0.620.212.3x6445%
Supertrend
period=32, mult=1.1
18.7%-66.1%0.580.282.4x10645%
EMA 크로스오버
fast=19, slow=39
9.2%-82.8%0.520.111.6x2651%
볼린저 밴드 돌파
n=20, k=1.8
11.6%-68.1%0.470.171.8x5631%
Buy and hold21.7%-84.9%0.690.262.8x1100%
1x 2022 2023 2024 2025 2026 Donchian 채널 돌파Buy and hold
Donchian 채널 돌파: Solid strategy line versus dashed buy-and-hold line. Log scale.
0% -21% -42% -64% -85% 2022 2023 2024 2025 2026 Buy and holdDonchian 채널 돌파
Donchian 채널 돌파 maximum drawdown -51.3% (2021-09-15 → 2021-10-15), recovered after 65 days.

Rules of the top strategy

A new high means a trend starting; a new low means it’s over (turtle-trading style).

Method and caveats

Past performance does not guarantee future returns. Parameters were carried forward from the latest full optimization and replayed on this monthly dataset. 0.5% trading costs are included; taxes, slippage and rejected orders are not.
Re-optimize the same period and setupAll asset reports

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