Trend-Following Backtester · Guide · backtest 한국어
equity · US
Design Therapeutics, Inc. backtest
10 trend-following strategies were compared on the full daily history of Design Therapeutics, Inc.. 10 beat buy-and-hold CAGR; SMA 크로스오버 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is 볼린저 밴드 돌파 (CAGR 3.1%, MDD -44.5%).
Results by strategy
10 of 10 beat buy and hold (CAGR -14.0%, drawdown -94.2%).
Sharpe leader (same as main): SMA 크로스오버 — CAGR 24.6%, MDD -47.5%, Sharpe 0.68, 39% exposure.
Return/drawdown alternative: 볼린저 밴드 돌파 — CAGR is 38.6%p higher than buy and hold, while drawdown improves by 46.7%p (CAGR 3.1%, MDD -44.5%, exposure 27%).
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 |
|---|---|---|---|---|---|---|---|
| SMA 크로스오버 fast=12, slow=215 |
24.6% | -47.5% | 0.68 | 0.52 | 3.3x | 9 | 39% |
| EMA 크로스오버 fast=31, slow=131 |
24.3% | -49.6% | 0.68 | 0.49 | 3.3x | 5 | 40% |
| Donchian 채널 돌파 entryN=100, exitN=68 |
17.4% | -54.9% | 0.57 | 0.32 | 2.4x | 5 | 41% |
| ROC 모멘텀 n=67, threshold=-0.01 |
14.9% | -58.6% | 0.53 | 0.25 | 2.1x | 53 | 52% |
| Supertrend period=21, mult=4 |
-6.1% | -88.2% | 0.30 | -0.07 | 0.7x | 19 | 52% |
| 볼린저 밴드 돌파 n=54, k=2.4 |
3.1% | -44.5% | 0.29 | 0.07 | 1.2x | 16 | 27% |
| Keltner 채널 돌파 emaPeriod=68, atrPeriod=29, mult=3.8 |
0.8% | -47.9% | 0.23 | 0.02 | 1.0x | 12 | 25% |
| ADX / DI 방향성 period=33, threshold=11 |
-12.5% | -89.4% | 0.18 | -0.14 | 0.5x | 37 | 45% |
| MACD fast=9, slow=15, signal=17 |
-7.0% | -72.1% | 0.14 | -0.10 | 0.7x | 102 | 55% |
| Parabolic SAR step=0.035, maxStep=0.3 |
-8.5% | -80.2% | 0.11 | -0.11 | 0.6x | 170 | 49% |
| Buy and hold | -14.0% | -94.2% | 0.30 | -0.15 | 0.4x | 1 | 100% |
Rules of the top strategy
When the short average rises above the long average, it reads that as an uptrend starting.
- Buy — Buy when the 12-day average price crosses above the 215-day average
- Sell — Sell (to cash) when the 12-day average falls below the 215-day average