Trend-Following Backtester · Guide · backtest 한국어
equity · US
Zentalis Pharmaceuticals, Inc. backtest
10 trend-following strategies were compared on the full daily history of Zentalis Pharmaceuticals, Inc.. 10 beat buy-and-hold CAGR; Donchian 채널 돌파 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is Keltner 채널 돌파 (CAGR 1.3%, MDD -39.3%).
Results by strategy
10 of 10 beat buy and hold (CAGR -22.3%, drawdown -98.8%).
Sharpe leader (same as main): Donchian 채널 돌파 — CAGR 21.5%, MDD -52.0%, Sharpe 0.60, 39% exposure.
Return/drawdown alternative: Keltner 채널 돌파 — CAGR is 43.8%p higher than buy and hold, while drawdown improves by 46.8%p (CAGR 1.3%, MDD -39.3%, exposure 1%).
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 |
|---|---|---|---|---|---|---|---|
| Donchian 채널 돌파 entryN=63, exitN=73 |
21.5% | -52.0% | 0.60 | 0.41 | 3.4x | 5 | 39% |
| ROC 모멘텀 n=147, threshold=0.18 |
19.9% | -46.7% | 0.58 | 0.43 | 3.2x | 33 | 26% |
| SMA 크로스오버 fast=8, slow=209 |
12.7% | -53.2% | 0.46 | 0.24 | 2.1x | 9 | 29% |
| EMA 크로스오버 fast=14, slow=126 |
10.9% | -46.7% | 0.43 | 0.23 | 1.9x | 13 | 32% |
| Supertrend period=9, mult=5 |
1.6% | -89.9% | 0.34 | 0.02 | 1.1x | 15 | 60% |
| 볼린저 밴드 돌파 n=44, k=2 |
4.9% | -51.6% | 0.31 | 0.09 | 1.4x | 21 | 24% |
| MACD fast=14, slow=24, signal=12 |
-9.9% | -92.1% | 0.18 | -0.11 | 0.5x | 88 | 49% |
| Keltner 채널 돌파 emaPeriod=10, atrPeriod=18, mult=3.9 |
1.3% | -39.3% | 0.16 | 0.03 | 1.1x | 4 | 1% |
| ADX / DI 방향성 period=37, threshold=16 |
-3.4% | -64.4% | 0.12 | -0.05 | 0.8x | 15 | 16% |
| Parabolic SAR step=0.04, maxStep=0.06 |
-15.5% | -91.7% | 0.02 | -0.17 | 0.3x | 110 | 41% |
| Buy and hold | -22.3% | -98.8% | 0.18 | -0.23 | 0.2x | 1 | 100% |
Rules of the top strategy
A new high means a trend starting; a new low means it’s over (turtle-trading style).
- Buy — Buy on a breakout above the highest high of the last 63 days
- Sell — Sell when price breaks below the lowest low of the last 73 days