Trend-Following Backtester · Guide · backtest 한국어
equity · US
CRISPR Therapeutics AG backtest
10 trend-following strategies were compared on the full daily history of CRISPR Therapeutics AG. 4 beat buy-and-hold CAGR; MACD ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is MACD (CAGR 17.4%, MDD -52.4%).
Results by strategy
4 of 10 beat buy and hold (CAGR 13.3%, drawdown -85.1%).
Sharpe leader (same as main): MACD — CAGR 17.4%, MDD -52.4%, Sharpe 0.57, 48% exposure.
Return/drawdown alternative: MACD — CAGR is 4.1%p higher than buy and hold, while drawdown improves by 32.7%p (CAGR 17.4%, MDD -52.4%, exposure 48%).
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=17, slow=56, signal=18 |
17.4% | -52.4% | 0.57 | 0.33 | 4.8x | 88 | 48% |
| Parabolic SAR step=0.03, maxStep=0.26 |
15.5% | -70.2% | 0.54 | 0.22 | 4.1x | 269 | 48% |
| Donchian 채널 돌파 entryN=72, exitN=17 |
13.6% | -54.7% | 0.53 | 0.25 | 3.5x | 26 | 26% |
| SMA 크로스오버 fast=12, slow=131 |
13.6% | -62.1% | 0.51 | 0.22 | 3.5x | 28 | 44% |
| ADX / DI 방향성 period=25, threshold=20 |
10.5% | -36.9% | 0.47 | 0.29 | 2.7x | 34 | 21% |
| 볼린저 밴드 돌파 n=19, k=3.1 |
9.0% | -31.6% | 0.47 | 0.28 | 2.3x | 26 | 11% |
| Supertrend period=19, mult=3 |
7.8% | -82.1% | 0.39 | 0.09 | 2.1x | 62 | 45% |
| EMA 크로스오버 fast=26, slow=84 |
6.8% | -72.5% | 0.36 | 0.09 | 1.9x | 26 | 45% |
| Keltner 채널 돌파 emaPeriod=37, atrPeriod=15, mult=3.3 |
4.8% | -62.2% | 0.30 | 0.08 | 1.6x | 26 | 16% |
| ROC 모멘텀 n=147, threshold=0 |
3.1% | -82.1% | 0.29 | 0.04 | 1.4x | 88 | 49% |
| Buy and hold | 13.3% | -85.1% | 0.51 | 0.16 | 3.4x | 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 (17/56) crosses above its 18-day signal line
- Sell — Sell when the MACD line crosses back below the signal line