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 5.2%, MDD -31.3%).
Results by strategy
8 of 10 beat buy and hold (CAGR -10.2%, drawdown -89.2%).
Sharpe leader (same as main): SMA 크로스오버 — CAGR 18.9%, MDD -45.9%, Sharpe 0.62, 29% exposure.
CAGR reference leader: Supertrend — CAGR 19.7%, MDD -58.0%, exposure 34%.
Return/drawdown alternative: 볼린저 밴드 돌파 — CAGR is 29.1%p higher than buy and hold, while drawdown improves by 43.4%p (CAGR 5.2%, MDD -31.3%, 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 |
|---|---|---|---|---|---|---|---|
| SMA 크로스오버 fast=27, slow=104 |
18.9% | -45.9% | 0.62 | 0.41 | 2.6x | 7 | 29% |
| Supertrend period=16, mult=4.5 |
19.7% | -58.0% | 0.61 | 0.34 | 2.7x | 9 | 34% |
| ROC 모멘텀 n=162, threshold=0.08 |
18.1% | -45.4% | 0.61 | 0.40 | 2.5x | 25 | 27% |
| EMA 크로스오버 fast=44, slow=59 |
14.8% | -49.0% | 0.53 | 0.30 | 2.2x | 9 | 30% |
| ADX / DI 방향성 period=29, threshold=18 |
8.6% | -38.0% | 0.40 | 0.23 | 1.6x | 10 | 15% |
| Donchian 채널 돌파 entryN=46, exitN=17 |
8.6% | -39.7% | 0.40 | 0.22 | 1.6x | 11 | 24% |
| 볼린저 밴드 돌파 n=15, k=2.6 |
5.2% | -31.3% | 0.34 | 0.17 | 1.3x | 18 | 9% |
| Keltner 채널 돌파 emaPeriod=55, atrPeriod=23, mult=1.3 |
5.1% | -45.6% | 0.31 | 0.11 | 1.3x | 23 | 25% |
| Parabolic SAR step=0.005, maxStep=0.32 |
-12.7% | -68.6% | -0.08 | -0.19 | 0.5x | 47 | 40% |
| MACD fast=6, slow=22, signal=17 |
-22.5% | -88.6% | -0.28 | -0.25 | 0.2x | 130 | 49% |
| Buy and hold | -10.2% | -89.2% | 0.19 | -0.11 | 0.5x | 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