Trend-Following Backtester · Guide · backtest 한국어
equity · US
Erasca, Inc. backtest
10 trend-following strategies were compared on the full daily history of Erasca, Inc.. 9 beat buy-and-hold CAGR; Keltner 채널 돌파 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is Keltner 채널 돌파 (CAGR 22.7%, MDD -7.8%).
Results by strategy
9 of 10 beat buy and hold (CAGR 0.7%, drawdown -95.6%).
Sharpe leader (same as main): Keltner 채널 돌파 — CAGR 22.7%, MDD -7.8%, Sharpe 1.20, 3% exposure.
CAGR reference leader: SMA 크로스오버 — CAGR 66.2%, MDD -59.5%, exposure 37%.
Return/drawdown alternative: Keltner 채널 돌파 — CAGR is 22.0%p higher than buy and hold, while drawdown improves by 87.8%p (CAGR 22.7%, MDD -7.8%, exposure 3%).
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=12, atrPeriod=17, mult=3.1 |
22.7% | -7.8% | 1.20 | 2.90 | 2.8x | 2 | 3% |
| SMA 크로스오버 fast=64, slow=120 |
66.2% | -59.5% | 1.19 | 1.11 | 12.9x | 6 | 37% |
| ROC 모멘텀 n=114, threshold=0.1 |
58.2% | -59.5% | 1.13 | 0.98 | 10.1x | 17 | 31% |
| ADX / DI 방향성 period=19, threshold=39 |
27.0% | -16.0% | 1.13 | 1.69 | 3.3x | 6 | 8% |
| EMA 크로스오버 fast=26, slow=144 |
55.0% | -59.5% | 1.12 | 0.93 | 9.1x | 3 | 29% |
| 볼린저 밴드 돌파 n=19, k=3.5 |
21.0% | -14.0% | 1.11 | 1.50 | 2.6x | 2 | 4% |
| Donchian 채널 돌파 entryN=104, exitN=17 |
36.9% | -56.2% | 0.95 | 0.66 | 4.9x | 4 | 16% |
| Supertrend period=19, mult=4.7 |
31.2% | -57.7% | 0.79 | 0.54 | 3.9x | 9 | 33% |
| Parabolic SAR step=0.025, maxStep=0.14 |
9.0% | -87.4% | 0.43 | 0.10 | 1.5x | 116 | 47% |
| MACD fast=12, slow=55, signal=6 |
-31.2% | -96.2% | -0.29 | -0.32 | 0.2x | 106 | 55% |
| Buy and hold | 0.7% | -95.6% | 0.43 | 0.01 | 1.0x | 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 12-day average + 3.1× volatility (Keltner top)
- Sell — Sell when the close falls back to the 12-day average