Trend-Following Backtester · Guide · backtest 한국어
equity · US
Edgewise Therapeutics, Inc. backtest
10 trend-following strategies were compared on the full daily history of Edgewise Therapeutics, Inc.. 8 beat buy-and-hold CAGR; Donchian 채널 돌파 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is Keltner 채널 돌파 (CAGR 10.1%, MDD -29.0%).
Results by strategy
8 of 10 beat buy and hold (CAGR 6.2%, drawdown -84.7%).
Sharpe leader (same as main): Donchian 채널 돌파 — CAGR 38.1%, MDD -42.9%, Sharpe 0.83, 43% exposure.
Return/drawdown alternative: Keltner 채널 돌파 — CAGR is 31.9%p higher than buy and hold, while drawdown improves by 41.8%p (CAGR 10.1%, MDD -29.0%, exposure 7%).
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 |
|---|---|---|---|---|---|---|---|
| Donchian 채널 돌파 entryN=93, exitN=65 |
38.1% | -42.9% | 0.83 | 0.89 | 5.8x | 5 | 43% |
| ADX / DI 방향성 period=22, threshold=25 |
26.6% | -33.4% | 0.83 | 0.80 | 3.6x | 12 | 17% |
| SMA 크로스오버 fast=56, slow=174 |
35.9% | -39.2% | 0.82 | 0.92 | 5.3x | 5 | 44% |
| EMA 크로스오버 fast=11, slow=201 |
32.2% | -38.1% | 0.77 | 0.85 | 4.6x | 7 | 40% |
| ROC 모멘텀 n=121, threshold=-0.02 |
31.8% | -60.7% | 0.75 | 0.52 | 4.5x | 35 | 47% |
| Supertrend period=18, mult=4.1 |
24.4% | -62.7% | 0.65 | 0.39 | 3.3x | 15 | 50% |
| 볼린저 밴드 돌파 n=54, k=3.5 |
12.9% | -40.8% | 0.50 | 0.32 | 1.9x | 10 | 18% |
| Keltner 채널 돌파 emaPeriod=27, atrPeriod=10, mult=3.6 |
10.1% | -29.0% | 0.48 | 0.35 | 1.7x | 6 | 7% |
| MACD fast=8, slow=50, signal=7 |
-12.3% | -78.1% | 0.05 | -0.16 | 0.5x | 126 | 47% |
| Parabolic SAR step=0.045, maxStep=0.24 |
-17.8% | -80.9% | -0.06 | -0.22 | 0.3x | 204 | 48% |
| Buy and hold | 6.2% | -84.7% | 0.46 | 0.07 | 1.4x | 1 | 100% |
Rules of the top strategy
A new high means a trend starting; a new low means it’s over (turtle-trading style).
- Buy — Buy on a breakout above the highest high of the last 93 days
- Sell — Sell when price breaks below the lowest low of the last 65 days