Trend-Following Backtester · Guide · backtest 한국어
equity · US
Corvus Pharmaceuticals, Inc. backtest
10 trend-following strategies were compared on the full daily history of Corvus Pharmaceuticals, Inc.. 9 beat buy-and-hold CAGR; Supertrend ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is Donchian 채널 돌파 (CAGR 10.6%, MDD -72.9%).
Results by strategy
9 of 10 beat buy and hold (CAGR -0.2%, drawdown -97.0%).
Sharpe leader (same as main): Supertrend — CAGR 25.5%, MDD -74.1%, Sharpe 0.61, 38% exposure.
CAGR reference leader: Parabolic SAR — CAGR 26.0%, MDD -79.9%, exposure 45%.
Return/drawdown alternative: Donchian 채널 돌파 — CAGR is 25.7%p higher than buy and hold, while drawdown improves by 22.9%p (CAGR 10.6%, MDD -72.9%, exposure 18%).
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 |
|---|---|---|---|---|---|---|---|
| Supertrend period=37, mult=3.9 |
25.5% | -74.1% | 0.61 | 0.34 | 10.7x | 33 | 38% |
| Parabolic SAR step=0.055, maxStep=0.38 |
26.0% | -79.9% | 0.58 | 0.33 | 11.2x | 389 | 45% |
| 볼린저 밴드 돌파 n=35, k=2.7 |
17.7% | -81.2% | 0.52 | 0.22 | 5.5x | 32 | 21% |
| MACD fast=7, slow=65, signal=15 |
16.5% | -92.0% | 0.51 | 0.18 | 4.9x | 162 | 49% |
| Donchian 채널 돌파 entryN=74, exitN=9 |
10.6% | -72.9% | 0.45 | 0.15 | 2.9x | 30 | 18% |
| ADX / DI 방향성 period=22, threshold=14 |
9.9% | -86.2% | 0.43 | 0.11 | 2.7x | 108 | 37% |
| Keltner 채널 돌파 emaPeriod=29, atrPeriod=27, mult=3 |
8.8% | -75.1% | 0.42 | 0.12 | 2.4x | 28 | 18% |
| ROC 모멘텀 n=8, threshold=0.12 |
11.2% | -79.4% | 0.39 | 0.14 | 3.0x | 236 | 17% |
| SMA 크로스오버 fast=49, slow=79 |
1.8% | -94.9% | 0.34 | 0.02 | 1.2x | 33 | 45% |
| EMA 크로스오버 fast=12, slow=215 |
-8.0% | -95.9% | 0.18 | -0.08 | 0.4x | 31 | 37% |
| Buy and hold | -0.2% | -97.0% | 0.44 | -0.00 | 1.0x | 1 | 100% |
Rules of the top strategy
Trades the direction of a volatility-based trend line that trails below/above price.
- Buy — Buy when price moves above the trend line (flips up) — 37-day volatility, 3.9× band
- Sell — Sell when price drops below the trend line (flips down)