Trend-Following Backtester · Guide · backtest 한국어
equity · US
Cullinan Therapeutics, Inc. backtest
10 trend-following strategies were compared on the full daily history of Cullinan Therapeutics, Inc.. 8 beat buy-and-hold CAGR; SMA 크로스오버 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is 볼린저 밴드 돌파 (CAGR 7.2%, MDD -31.3%).
Results by strategy
8 of 10 beat buy and hold (CAGR -5.3%, drawdown -89.2%).
Sharpe leader (same as main): SMA 크로스오버 — CAGR 24.8%, MDD -45.9%, Sharpe 0.74, 30% exposure.
CAGR reference leader: Supertrend — CAGR 25.7%, MDD -58.0%, exposure 35%.
Return/drawdown alternative: 볼린저 밴드 돌파 — CAGR is 30.2%p higher than buy and hold, while drawdown improves by 43.4%p (CAGR 7.2%, MDD -31.3%, exposure 10%).
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 |
|---|---|---|---|---|---|---|---|
| SMA 크로스오버 fast=27, slow=104 |
24.8% | -45.9% | 0.74 | 0.54 | 3.5x | 7 | 30% |
| ROC 모멘텀 n=162, threshold=0.08 |
24.1% | -45.4% | 0.73 | 0.53 | 3.4x | 25 | 28% |
| Supertrend period=16, mult=4.5 |
25.7% | -58.0% | 0.72 | 0.44 | 3.6x | 9 | 35% |
| EMA 크로스오버 fast=44, slow=59 |
20.6% | -49.0% | 0.64 | 0.42 | 2.9x | 9 | 31% |
| Donchian 채널 돌파 entryN=46, exitN=17 |
14.2% | -39.7% | 0.54 | 0.36 | 2.1x | 11 | 25% |
| 볼린저 밴드 돌파 n=15, k=2.6 |
7.2% | -31.3% | 0.42 | 0.23 | 1.5x | 19 | 10% |
| ADX / DI 방향성 period=29, threshold=18 |
8.5% | -38.0% | 0.40 | 0.22 | 1.6x | 10 | 14% |
| Keltner 채널 돌파 emaPeriod=55, atrPeriod=23, mult=1.3 |
8.5% | -47.3% | 0.39 | 0.18 | 1.6x | 25 | 26% |
| Parabolic SAR step=0.005, maxStep=0.32 |
-7.9% | -68.6% | 0.04 | -0.12 | 0.6x | 47 | 41% |
| MACD fast=6, slow=22, signal=17 |
-19.6% | -88.6% | -0.20 | -0.22 | 0.3x | 131 | 50% |
| Buy and hold | -5.3% | -89.2% | 0.26 | -0.06 | 0.7x | 1 | 100% |
Rules of the top strategy
When the short average rises above the long average, it reads that as an uptrend starting.
- Buy — Buy when the 27-day average price crosses above the 104-day average
- Sell — Sell (to cash) when the 27-day average falls below the 104-day average