Trend-Following Backtester · Guide · backtest 한국어
equity · US
Absci Corporation backtest
10 trend-following strategies were compared on the full daily history of Absci Corporation. 10 beat buy-and-hold CAGR; 볼린저 밴드 돌파 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is ADX / DI 방향성 (CAGR 17.9%, MDD -39.1%).
Results by strategy
10 of 10 beat buy and hold (CAGR -15.7%, drawdown -96.2%).
Sharpe leader (same as main): 볼린저 밴드 돌파 — CAGR 30.5%, MDD -44.3%, Sharpe 0.78, 16% exposure.
CAGR reference leader: Supertrend — CAGR 35.9%, MDD -76.9%, exposure 43%.
Return/drawdown alternative: ADX / DI 방향성 — CAGR is 46.2%p higher than buy and hold, while drawdown improves by 52.0%p (CAGR 17.9%, MDD -39.1%, exposure 9%).
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 |
|---|---|---|---|---|---|---|---|
| 볼린저 밴드 돌파 n=43, k=2.9 |
30.5% | -44.3% | 0.78 | 0.69 | 3.9x | 10 | 16% |
| ROC 모멘텀 n=141, threshold=-0.03 |
34.8% | -65.5% | 0.78 | 0.53 | 4.6x | 33 | 35% |
| Supertrend period=9, mult=1.2 |
35.9% | -76.9% | 0.78 | 0.47 | 4.8x | 94 | 43% |
| Keltner 채널 돌파 emaPeriod=33, atrPeriod=26, mult=3.7 |
26.0% | -47.7% | 0.74 | 0.55 | 3.3x | 8 | 12% |
| Parabolic SAR step=0.05, maxStep=0.18 |
26.7% | -69.3% | 0.68 | 0.39 | 3.3x | 166 | 46% |
| Donchian 채널 돌파 entryN=59, exitN=7 |
21.1% | -44.7% | 0.64 | 0.47 | 2.7x | 16 | 13% |
| ADX / DI 방향성 period=22, threshold=31 |
17.9% | -39.1% | 0.62 | 0.46 | 2.3x | 6 | 9% |
| MACD fast=13, slow=22, signal=14 |
10.0% | -77.5% | 0.49 | 0.13 | 1.6x | 81 | 52% |
| SMA 크로스오버 fast=23, slow=201 |
11.1% | -76.9% | 0.46 | 0.14 | 1.7x | 9 | 28% |
| EMA 크로스오버 fast=43, slow=109 |
10.0% | -79.5% | 0.44 | 0.13 | 1.6x | 7 | 25% |
| Buy and hold | -15.7% | -96.2% | 0.31 | -0.16 | 0.4x | 1 | 100% |
Rules of the top strategy
Breaking above the upper band (average plus a multiple of volatility) signals a strong move up.
- Buy — Buy when the close breaks above the upper band of the 43-day average (2.9× volatility)
- Sell — Sell when the close falls back to the 43-day middle average