Trend-Following Backtester · Guide · backtest 한국어
equity · US
Candel Therapeutics, Inc. backtest
10 trend-following strategies were compared on the full daily history of Candel Therapeutics, Inc.. 10 beat buy-and-hold CAGR; MACD ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is Donchian 채널 돌파 (CAGR 52.7%, MDD -56.9%).
Results by strategy
10 of 10 beat buy and hold (CAGR 12.9%, drawdown -94.3%).
Sharpe leader (same as main): MACD — CAGR 49.4%, MDD -78.6%, Sharpe 0.67, 50% exposure.
CAGR reference leader: SMA 크로스오버 — CAGR 58.7%, MDD -73.9%, exposure 34%.
Return/drawdown alternative: Donchian 채널 돌파 — CAGR is 36.5%p higher than buy and hold, while drawdown improves by 15.7%p (CAGR 52.7%, MDD -56.9%, exposure 16%).
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 |
|---|---|---|---|---|---|---|---|
| MACD fast=12, slow=24, signal=13 |
49.4% | -78.6% | 0.67 | 0.63 | 7.7x | 79 | 50% |
| SMA 크로스오버 fast=77, slow=131 |
58.7% | -73.9% | 0.67 | 0.80 | 10.5x | 13 | 34% |
| ROC 모멘텀 n=122, threshold=0.08 |
47.3% | -68.9% | 0.62 | 0.69 | 7.2x | 37 | 32% |
| Donchian 채널 돌파 entryN=114, exitN=24 |
52.7% | -56.9% | 0.61 | 0.93 | 8.6x | 3 | 16% |
| Parabolic SAR step=0.01, maxStep=0.32 |
28.6% | -87.4% | 0.56 | 0.33 | 3.6x | 61 | 41% |
| Keltner 채널 돌파 emaPeriod=51, atrPeriod=8, mult=1.1 |
34.7% | -69.0% | 0.56 | 0.50 | 4.6x | 25 | 30% |
| Supertrend period=16, mult=4.2 |
27.1% | -79.0% | 0.53 | 0.34 | 3.4x | 17 | 36% |
| EMA 크로스오버 fast=22, slow=123 |
28.9% | -81.8% | 0.52 | 0.35 | 3.6x | 9 | 34% |
| ADX / DI 방향성 period=8, threshold=7 |
14.3% | -86.9% | 0.51 | 0.16 | 2.0x | 141 | 53% |
| 볼린저 밴드 돌파 n=17, k=2.2 |
19.4% | -75.3% | 0.47 | 0.26 | 2.5x | 41 | 23% |
| Buy and hold | 12.9% | -94.3% | 0.58 | 0.14 | 1.9x | 1 | 100% |
Rules of the top strategy
Looks at the gap (MACD) between a short and long average crossing its own signal line.
- Buy — Buy when the MACD line (12/24) crosses above its 13-day signal line
- Sell — Sell when the MACD line crosses back below the signal line