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; Supertrend 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 -19.5%, drawdown -99.0%).
Sharpe leader (same as main): Supertrend — CAGR 10.6%, MDD -75.0%, Sharpe 0.43, 35% exposure.
CAGR reference leader: ROC 모멘텀 — CAGR 11.0%, MDD -69.3%, exposure 29%.
Return/drawdown alternative: 볼린저 밴드 돌파 — CAGR is 30.1%p higher than buy and hold, while drawdown improves by 24.0%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 |
|---|---|---|---|---|---|---|---|
| Supertrend period=28, mult=2.1 |
10.6% | -75.0% | 0.43 | 0.14 | 4.3x | 131 | 35% |
| ROC 모멘텀 n=53, threshold=0.14 |
11.0% | -69.3% | 0.43 | 0.16 | 4.6x | 145 | 29% |
| SMA 크로스오버 fast=28, slow=50 |
8.9% | -76.4% | 0.42 | 0.12 | 3.5x | 73 | 45% |
| ADX / DI 방향성 period=25, threshold=12 |
3.5% | -76.7% | 0.37 | 0.05 | 1.6x | 151 | 45% |
| Donchian 채널 돌파 entryN=61, exitN=67 |
4.1% | -78.7% | 0.34 | 0.05 | 1.8x | 24 | 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 |
-4.6% | -92.6% | 0.27 | -0.05 | 0.5x | 199 | 53% |
| EMA 크로스오버 fast=11, slow=80 |
-3.5% | -92.0% | 0.24 | -0.04 | 0.6x | 65 | 38% |
| Parabolic SAR step=0.02, maxStep=0.14 |
-4.1% | -91.2% | 0.22 | -0.05 | 0.5x | 274 | 44% |
| Keltner 채널 돌파 emaPeriod=17, atrPeriod=18, mult=0.8 |
-3.3% | -83.9% | 0.19 | -0.04 | 0.6x | 205 | 30% |
| Buy and hold | -19.5% | -99.0% | 0.21 | -0.20 | 0.0x | 1 | 100% |
Rules of the top strategy
Trades the direction of a volatility-based trend line that trails below/above price.
- Buy — Buy when price moves above the trend line (flips up) — 28-day volatility, 2.1× band
- Sell — Sell when price drops below the trend line (flips down)