Trend-Following Backtester · Guide · backtest 한국어
equity · US
Cogent Biosciences, Inc. backtest
10 trend-following strategies were compared on the full daily history of Cogent Biosciences, Inc.. 8 beat buy-and-hold CAGR; 볼린저 밴드 돌파 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is 볼린저 밴드 돌파 (CAGR 11.3%, MDD -20.2%).
Results by strategy
8 of 10 beat buy and hold (CAGR -2.9%, drawdown -98.1%).
Sharpe leader (same as main): 볼린저 밴드 돌파 — CAGR 11.3%, MDD -20.2%, Sharpe 0.71, 4% exposure.
CAGR reference leader: Supertrend — CAGR 38.6%, MDD -66.0%, exposure 54%.
Return/drawdown alternative: 볼린저 밴드 돌파 — CAGR is 14.1%p higher than buy and hold, while drawdown improves by 77.9%p (CAGR 11.3%, MDD -20.2%, exposure 4%).
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 |
|---|---|---|---|---|---|---|---|
| 볼린저 밴드 돌파 n=14, k=3.4 |
11.3% | -20.2% | 0.71 | 0.56 | 2.5x | 8 | 4% |
| ROC 모멘텀 n=71, threshold=0.22 |
23.9% | -37.2% | 0.60 | 0.64 | 6.1x | 62 | 26% |
| ADX / DI 방향성 period=28, threshold=24 |
22.1% | -34.9% | 0.57 | 0.63 | 5.4x | 10 | 17% |
| Supertrend period=10, mult=4.6 |
38.6% | -66.0% | 0.52 | 0.59 | 15.7x | 19 | 54% |
| SMA 크로스오버 fast=12, slow=40 |
18.0% | -78.5% | 0.52 | 0.23 | 4.0x | 56 | 46% |
| EMA 크로스오버 fast=15, slow=119 |
13.9% | -60.0% | 0.45 | 0.23 | 3.0x | 19 | 41% |
| Keltner 채널 돌파 emaPeriod=58, atrPeriod=24, mult=2.5 |
14.2% | -59.8% | 0.45 | 0.24 | 3.1x | 24 | 27% |
| Donchian 채널 돌파 entryN=55, exitN=30 |
22.7% | -74.0% | 0.42 | 0.31 | 5.6x | 20 | 33% |
| MACD fast=18, slow=26, signal=24 |
-9.3% | -92.4% | 0.15 | -0.10 | 0.4x | 96 | 47% |
| Parabolic SAR step=0.01, maxStep=0.16 |
-11.1% | -90.7% | 0.07 | -0.12 | 0.4x | 110 | 46% |
| Buy and hold | -2.9% | -98.1% | 0.39 | -0.03 | 0.8x | 1 | 100% |
Rules of the top strategy
Breaking above the upper band (average plus a multiple of volatility) signals a strong move up.
- Buy — Buy when the close breaks above the upper band of the 14-day average (3.4× volatility)
- Sell — Sell when the close falls back to the 14-day middle average