Trend-Following Backtester · Guide · backtest 한국어
equity · US
Vor Biopharma Inc. backtest
10 trend-following strategies were compared on the full daily history of Vor Biopharma Inc.. 10 beat buy-and-hold CAGR; 볼린저 밴드 돌파 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is Keltner 채널 돌파 (CAGR 20.4%, MDD -24.3%).
Results by strategy
10 of 10 beat buy and hold (CAGR -46.8%, drawdown -99.7%).
Sharpe leader (same as main): 볼린저 밴드 돌파 — CAGR 46.4%, MDD -29.0%, Sharpe 0.88, 9% exposure.
Return/drawdown alternative: Keltner 채널 돌파 — CAGR is 93.2%p higher than buy and hold, while drawdown improves by 70.7%p (CAGR 20.4%, MDD -24.3%, 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 |
|---|---|---|---|---|---|---|---|
| 볼린저 밴드 돌파 n=28, k=3.1 |
46.4% | -29.0% | 0.88 | 1.60 | 8.4x | 7 | 9% |
| Donchian 채널 돌파 entryN=19, exitN=70 |
23.7% | -71.0% | 0.63 | 0.33 | 3.3x | 13 | 53% |
| Keltner 채널 돌파 emaPeriod=14, atrPeriod=29, mult=3.8 |
20.4% | -24.3% | 0.60 | 0.84 | 2.8x | 4 | 2% |
| ROC 모멘텀 n=4, threshold=0.14 |
22.1% | -79.7% | 0.57 | 0.28 | 3.0x | 104 | 10% |
| SMA 크로스오버 fast=24, slow=30 |
10.7% | -90.2% | 0.47 | 0.12 | 1.8x | 65 | 36% |
| ADX / DI 방향성 period=26, threshold=16 |
11.2% | -75.7% | 0.44 | 0.15 | 1.8x | 23 | 19% |
| MACD fast=6, slow=53, signal=11 |
3.0% | -95.1% | 0.42 | 0.03 | 1.2x | 100 | 51% |
| Supertrend period=21, mult=2.7 |
-1.1% | -92.2% | 0.33 | -0.01 | 0.9x | 31 | 33% |
| Parabolic SAR step=0.03, maxStep=0.12 |
-2.9% | -97.8% | 0.33 | -0.03 | 0.9x | 140 | 40% |
| EMA 크로스오버 fast=16, slow=101 |
-8.3% | -58.6% | 0.02 | -0.14 | 0.6x | 7 | 16% |
| Buy and hold | -46.8% | -99.7% | 0.03 | -0.47 | 0.0x | 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 28-day average (3.1× volatility)
- Sell — Sell when the close falls back to the 28-day middle average