Trend-Following Backtester · Guide · backtest 한국어
equity · US
Capricor Therapeutics, Inc. backtest
10 trend-following strategies were compared on the full daily history of Capricor Therapeutics, Inc.. 10 beat buy-and-hold CAGR; MACD ranks first by Sharpe, matching the main backtester.
Results by strategy
10 of 10 beat buy and hold (CAGR -17.7%, drawdown -100.0%).
Sharpe leader (same as main): MACD — CAGR 12.8%, MDD -98.3%, Sharpe 0.49, 51% exposure.
CAGR reference leader: Parabolic SAR — CAGR 16.4%, MDD -92.8%, exposure 42%.
No strategy retained at least 75% of buy-and-hold CAGR while reducing drawdown by both 20% relatively and 5 percentage points absolutely.
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=16, slow=26, signal=15 |
12.8% | -98.3% | 0.49 | 0.13 | 10.5x | 241 | 51% |
| Parabolic SAR step=0.01, maxStep=0.14 |
16.4% | -92.8% | 0.48 | 0.18 | 19.5x | 193 | 42% |
| 볼린저 밴드 돌파 n=35, k=2.3 |
16.1% | -91.9% | 0.45 | 0.18 | 18.5x | 84 | 20% |
| ADX / DI 방향성 period=9, threshold=22 |
12.9% | -90.8% | 0.45 | 0.14 | 10.7x | 329 | 35% |
| Keltner 채널 돌파 emaPeriod=14, atrPeriod=23, mult=1.6 |
16.4% | -92.4% | 0.42 | 0.18 | 19.4x | 118 | 15% |
| Supertrend period=29, mult=3.6 |
6.7% | -93.9% | 0.40 | 0.07 | 3.6x | 81 | 35% |
| SMA 크로스오버 fast=10, slow=44 |
3.7% | -93.7% | 0.37 | 0.04 | 2.0x | 144 | 38% |
| Donchian 채널 돌파 entryN=19, exitN=50 |
-7.8% | -99.6% | 0.35 | -0.08 | 0.2x | 79 | 58% |
| EMA 크로스오버 fast=17, slow=38 |
0.6% | -95.3% | 0.34 | 0.01 | 1.1x | 104 | 35% |
| ROC 모멘텀 n=31, threshold=-0.03 |
-9.3% | -99.2% | 0.30 | -0.09 | 0.1x | 414 | 46% |
| Buy and hold | -17.7% | -100.0% | 0.46 | -0.18 | 0.0x | 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 (16/26) crosses above its 15-day signal line
- Sell — Sell when the MACD line crosses back below the signal line