Trend-Following Backtester · Guide · backtest 한국어
equity · US
4D Molecular Therapeutics, Inc. backtest
10 trend-following strategies were compared on the full daily history of 4D Molecular Therapeutics, Inc.. 10 beat buy-and-hold CAGR; Donchian 채널 돌파 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is ADX / DI 방향성 (CAGR 16.1%, MDD -28.5%).
Results by strategy
10 of 10 beat buy and hold (CAGR -16.9%, drawdown -95.2%).
Sharpe leader (same as main): Donchian 채널 돌파 — CAGR 44.0%, MDD -50.1%, Sharpe 0.83, 45% exposure.
Return/drawdown alternative: ADX / DI 방향성 — CAGR is 60.9%p higher than buy and hold, while drawdown improves by 45.1%p (CAGR 16.1%, MDD -28.5%, exposure 15%).
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=30, exitN=45 |
44.0% | -50.1% | 0.83 | 0.88 | 8.1x | 13 | 45% |
| 볼린저 밴드 돌파 n=48, k=2.9 |
27.0% | -40.9% | 0.66 | 0.66 | 3.9x | 9 | 19% |
| ROC 모멘텀 n=40, threshold=0.1 |
27.0% | -50.8% | 0.65 | 0.53 | 3.9x | 57 | 30% |
| Keltner 채널 돌파 emaPeriod=27, atrPeriod=21, mult=3.7 |
17.2% | -38.0% | 0.63 | 0.45 | 2.5x | 9 | 12% |
| SMA 크로스오버 fast=58, slow=124 |
24.3% | -41.4% | 0.62 | 0.59 | 3.5x | 15 | 37% |
| Supertrend period=16, mult=2.1 |
14.7% | -67.8% | 0.51 | 0.22 | 2.2x | 51 | 39% |
| ADX / DI 방향성 period=19, threshold=26 |
16.1% | -28.5% | 0.51 | 0.57 | 2.4x | 19 | 15% |
| EMA 크로스오버 fast=25, slow=38 |
8.3% | -68.2% | 0.41 | 0.12 | 1.6x | 25 | 38% |
| Parabolic SAR step=0.015, maxStep=0.36 |
-9.6% | -77.4% | 0.15 | -0.12 | 0.6x | 96 | 44% |
| MACD fast=16, slow=43, signal=11 |
-13.6% | -91.4% | 0.10 | -0.15 | 0.4x | 79 | 49% |
| Buy and hold | -16.9% | -95.2% | 0.22 | -0.18 | 0.3x | 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 30 days
- Sell — Sell when price breaks below the lowest low of the last 45 days