Trend-Following Backtester · Guide · backtest 한국어
equity · US
Celldex Therapeutics, Inc. backtest
10 trend-following strategies were compared on the full daily history of Celldex Therapeutics, Inc.. 9 beat buy-and-hold CAGR; EMA 크로스오버 ranks first by Sharpe, matching the main backtester.
Results by strategy
9 of 10 beat buy and hold (CAGR -7.5%, drawdown -99.9%).
Sharpe leader (same as main): EMA 크로스오버 — CAGR 11.3%, MDD -86.0%, Sharpe 0.45, 39% exposure.
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 |
|---|---|---|---|---|---|---|---|
| EMA 크로스오버 fast=74, slow=96 |
11.3% | -86.0% | 0.45 | 0.13 | 74.8x | 51 | 39% |
| SMA 크로스오버 fast=35, slow=169 |
11.0% | -90.7% | 0.45 | 0.12 | 66.5x | 67 | 41% |
| Donchian 채널 돌파 entryN=115, exitN=64 |
9.5% | -84.8% | 0.42 | 0.11 | 38.8x | 41 | 34% |
| ROC 모멘텀 n=126, threshold=-0.02 |
2.1% | -93.6% | 0.31 | 0.02 | 2.3x | 327 | 45% |
| Supertrend period=29, mult=5 |
0.6% | -97.2% | 0.25 | 0.01 | 1.3x | 101 | 38% |
| ADX / DI 방향성 period=20, threshold=11 |
-3.7% | -99.2% | 0.21 | -0.04 | 0.2x | 581 | 48% |
| Keltner 채널 돌파 emaPeriod=37, atrPeriod=29, mult=3.7 |
1.1% | -85.6% | 0.19 | 0.01 | 1.6x | 88 | 14% |
| Parabolic SAR step=0.035, maxStep=0.16 |
-6.5% | -99.4% | 0.17 | -0.06 | 0.1x | 1003 | 46% |
| 볼린저 밴드 돌파 n=54, k=3.5 |
0.4% | -82.4% | 0.17 | 0.00 | 1.2x | 62 | 11% |
| MACD fast=14, slow=42, signal=16 |
-10.6% | -100.0% | 0.11 | -0.11 | 0.0x | 520 | 52% |
| Buy and hold | -7.5% | -99.9% | 0.32 | -0.08 | 0.0x | 1 | 100% |
Rules of the top strategy
Uses two exponential averages (more weight on recent prices) and trades their crossover.
- Buy — Buy when the 74-day EMA crosses above the 96-day EMA
- Sell — Sell when the 74-day EMA falls below the 96-day EMA