Trend-Following Backtester · Guide · backtest 한국어
equity · US
Castle Biosciences, Inc. backtest
10 trend-following strategies were compared on the full daily history of Castle Biosciences, Inc.. 5 beat buy-and-hold CAGR; Keltner 채널 돌파 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is EMA 크로스오버 (CAGR 14.6%, MDD -52.2%).
Results by strategy
5 of 10 beat buy and hold (CAGR 6.2%, drawdown -88.0%).
Sharpe leader (same as main): Keltner 채널 돌파 — CAGR 3.0%, MDD -5.6%, Sharpe 0.57, 2% exposure.
CAGR reference leader: EMA 크로스오버 — CAGR 14.6%, MDD -52.2%, exposure 46%.
Return/drawdown alternative: EMA 크로스오버 — CAGR is 3.3%p lower than buy and hold, while drawdown improves by 82.4%p (CAGR 14.6%, MDD -52.2%, exposure 46%).
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 |
|---|---|---|---|---|---|---|---|
| Keltner 채널 돌파 emaPeriod=14, atrPeriod=9, mult=4 |
3.0% | -5.6% | 0.57 | 0.53 | 1.2x | 2 | 2% |
| EMA 크로스오버 fast=41, slow=163 |
14.6% | -52.2% | 0.54 | 0.28 | 2.6x | 11 | 46% |
| ADX / DI 방향성 period=19, threshold=17 |
10.3% | -57.5% | 0.45 | 0.18 | 2.0x | 61 | 36% |
| SMA 크로스오버 fast=56, slow=191 |
10.3% | -54.6% | 0.45 | 0.19 | 2.0x | 12 | 44% |
| 볼린저 밴드 돌파 n=53, k=1.4 |
8.5% | -77.6% | 0.40 | 0.11 | 1.8x | 35 | 38% |
| Donchian 채널 돌파 entryN=82, exitN=26 |
7.0% | -53.3% | 0.37 | 0.13 | 1.6x | 13 | 30% |
| ROC 모멘텀 n=90, threshold=-0.02 |
5.4% | -75.6% | 0.35 | 0.07 | 1.5x | 81 | 54% |
| MACD fast=5, slow=62, signal=15 |
5.4% | -70.8% | 0.34 | 0.08 | 1.5x | 129 | 52% |
| Supertrend period=21, mult=3.1 |
2.5% | -81.8% | 0.28 | 0.03 | 1.2x | 41 | 51% |
| Parabolic SAR step=0.03, maxStep=0.18 |
0.7% | -57.7% | 0.26 | 0.01 | 1.0x | 199 | 54% |
| Buy and hold | 6.2% | -88.0% | 0.45 | 0.07 | 1.5x | 1 | 100% |
Rules of the top strategy
Breaking above the channel top (average plus a multiple of volatility) signals an upside breakout.
- Buy — Buy when the close breaks above the 14-day average + 4× volatility (Keltner top)
- Sell — Sell when the close falls back to the 14-day average