Trend-Following Backtester · Guide · backtest 한국어
equity · US
Viridian Therapeutics, Inc. backtest
10 trend-following strategies were compared on the full daily history of Viridian Therapeutics, Inc.. 10 beat buy-and-hold CAGR; SMA 크로스오버 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is 볼린저 밴드 돌파 (CAGR 0.1%, MDD -67.2%).
Results by strategy
10 of 10 beat buy and hold (CAGR -32.1%, drawdown -99.7%).
Sharpe leader (same as main): SMA 크로스오버 — CAGR -5.2%, MDD -96.8%, Sharpe 0.21, 36% exposure.
CAGR reference leader: 볼린저 밴드 돌파 — CAGR 0.1%, MDD -67.2%, exposure 11%.
Return/drawdown alternative: 볼린저 밴드 돌파 — CAGR is 26.8%p higher than buy and hold, while drawdown improves by 3.0%p (CAGR 0.1%, MDD -67.2%, exposure 11%).
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=40, slow=58 |
-5.2% | -96.8% | 0.21 | -0.05 | 0.5x | 55 | 36% |
| 볼린저 밴드 돌파 n=28, k=3.1 |
0.1% | -67.2% | 0.20 | 0.00 | 1.0x | 24 | 11% |
| Donchian 채널 돌파 entryN=31, exitN=42 |
-14.2% | -96.9% | 0.15 | -0.15 | 0.2x | 31 | 45% |
| Keltner 채널 돌파 emaPeriod=27, atrPeriod=25, mult=1.8 |
-5.6% | -81.4% | 0.12 | -0.07 | 0.5x | 54 | 20% |
| Supertrend period=16, mult=2.6 |
-11.4% | -95.7% | 0.08 | -0.12 | 0.2x | 73 | 38% |
| ROC 모멘텀 n=43, threshold=0.01 |
-19.2% | -99.1% | 0.07 | -0.19 | 0.1x | 169 | 38% |
| ADX / DI 방향성 period=28, threshold=11 |
-25.0% | -98.7% | 0.04 | -0.25 | 0.0x | 139 | 46% |
| MACD fast=17, slow=28, signal=10 |
-24.6% | -99.1% | -0.02 | -0.25 | 0.0x | 199 | 50% |
| EMA 크로스오버 fast=14, slow=31 |
-16.0% | -97.6% | -0.05 | -0.16 | 0.1x | 75 | 37% |
| Parabolic SAR step=0.045, maxStep=0.28 |
-26.5% | -99.3% | -0.08 | -0.27 | 0.0x | 399 | 43% |
| Buy and hold | -32.1% | -99.7% | 0.18 | -0.32 | 0.0x | 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 40-day average price crosses above the 58-day average
- Sell — Sell (to cash) when the 40-day average falls below the 58-day average