Trend-Following Backtester · Guide · backtest 한국어
equity · CH
Kuros Biosciences Ltd. backtest
10 trend-following strategies were compared on the full daily history of Kuros Biosciences Ltd.. 9 beat buy-and-hold CAGR; Donchian 채널 돌파 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is 볼린저 밴드 돌파 (CAGR 11.7%, MDD -57.6%).
Results by strategy
9 of 10 beat buy and hold (CAGR -19.5%, drawdown -100.0%).
Sharpe leader (same as main): Donchian 채널 돌파 — CAGR 21.5%, MDD -76.5%, Sharpe 0.56, 33% exposure.
Return/drawdown alternative: 볼린저 밴드 돌파 — CAGR is 41.0%p higher than buy and hold, while drawdown improves by 23.5%p (CAGR 11.7%, MDD -57.6%, exposure 19%).
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=66, exitN=35 |
21.5% | -76.5% | 0.56 | 0.28 | 101.6x | 33 | 33% |
| SMA 크로스오버 fast=34, slow=123 |
19.6% | -78.2% | 0.53 | 0.25 | 69.6x | 34 | 38% |
| EMA 크로스오버 fast=23, slow=80 |
16.4% | -79.5% | 0.49 | 0.21 | 36.6x | 40 | 37% |
| ROC 모멘텀 n=59, threshold=0.06 |
15.5% | -89.2% | 0.47 | 0.17 | 30.9x | 229 | 34% |
| Keltner 채널 돌파 emaPeriod=56, atrPeriod=10, mult=3.2 |
12.0% | -69.8% | 0.40 | 0.17 | 14.9x | 50 | 23% |
| 볼린저 밴드 돌파 n=56, k=2.7 |
11.7% | -57.6% | 0.40 | 0.20 | 13.9x | 43 | 19% |
| Supertrend period=11, mult=5 |
7.0% | -91.2% | 0.35 | 0.08 | 5.0x | 65 | 51% |
| ADX / DI 방향성 period=24, threshold=19 |
6.4% | -83.3% | 0.32 | 0.08 | 4.3x | 142 | 26% |
| Parabolic SAR step=0.015, maxStep=0.24 |
-1.8% | -97.4% | 0.21 | -0.02 | 0.6x | 301 | 41% |
| MACD fast=8, slow=50, signal=17 |
-20.7% | -99.9% | 0.07 | -0.21 | 0.0x | 351 | 50% |
| Buy and hold | -19.5% | -100.0% | 0.21 | -0.19 | 0.0x | 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 66 days
- Sell — Sell when price breaks below the lowest low of the last 35 days