Trend-Following Backtester · Guide · backtest 한국어
equity · US
Verastem, Inc. backtest
10 trend-following strategies were compared on the full daily history of Verastem, Inc.. 10 beat buy-and-hold CAGR; ROC 모멘텀 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is 볼린저 밴드 돌파 (CAGR 5.9%, MDD -63.7%).
Results by strategy
10 of 10 beat buy and hold (CAGR -18.1%, drawdown -99.0%).
Sharpe leader (same as main): ROC 모멘텀 — CAGR 12.6%, MDD -69.3%, Sharpe 0.46, 29% exposure.
Return/drawdown alternative: 볼린저 밴드 돌파 — CAGR is 30.8%p higher than buy and hold, while drawdown improves by 29.7%p (CAGR 5.9%, MDD -63.7%, exposure 12%).
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 |
|---|---|---|---|---|---|---|---|
| ROC 모멘텀 n=53, threshold=0.14 |
12.6% | -69.3% | 0.46 | 0.18 | 5.7x | 145 | 29% |
| Supertrend period=28, mult=2.1 |
12.2% | -75.0% | 0.46 | 0.16 | 5.4x | 131 | 36% |
| SMA 크로스오버 fast=28, slow=50 |
10.5% | -76.4% | 0.44 | 0.14 | 4.3x | 73 | 45% |
| ADX / DI 방향성 period=25, threshold=12 |
5.0% | -76.7% | 0.40 | 0.07 | 2.0x | 151 | 46% |
| Donchian 채널 돌파 entryN=61, exitN=67 |
4.5% | -78.7% | 0.35 | 0.06 | 1.9x | 25 | 42% |
| 볼린저 밴드 돌파 n=56, k=3.5 |
5.9% | -63.7% | 0.34 | 0.09 | 2.3x | 16 | 12% |
| MACD fast=8, slow=54, signal=15 |
-4.1% | -92.6% | 0.27 | -0.04 | 0.5x | 201 | 53% |
| EMA 크로스오버 fast=11, slow=80 |
-2.0% | -92.0% | 0.27 | -0.02 | 0.7x | 65 | 38% |
| Parabolic SAR step=0.02, maxStep=0.14 |
-3.7% | -91.2% | 0.23 | -0.04 | 0.6x | 275 | 45% |
| Keltner 채널 돌파 emaPeriod=17, atrPeriod=18, mult=0.8 |
-3.0% | -83.9% | 0.20 | -0.04 | 0.6x | 207 | 30% |
| Buy and hold | -18.1% | -99.0% | 0.23 | -0.18 | 0.1x | 1 | 100% |
Rules of the top strategy
Rides the trend when recent return (momentum) over a window is above a threshold.
- Buy — Buy when the last 53-day return is greater than 14%
- Sell — Sell when the 53-day return drops to 14% or below