Trend-Following Backtester · Guide · backtest 한국어
equity · US
Kura Oncology, Inc. backtest
10 trend-following strategies were compared on the full daily history of Kura Oncology, Inc.. 10 beat buy-and-hold CAGR; 볼린저 밴드 돌파 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is ADX / DI 방향성 (CAGR 14.8%, MDD -32.6%).
Results by strategy
10 of 10 beat buy and hold (CAGR -1.6%, drawdown -87.2%).
Sharpe leader (same as main): 볼린저 밴드 돌파 — CAGR 18.5%, MDD -33.5%, Sharpe 0.65, 18% exposure.
Return/drawdown alternative: ADX / DI 방향성 — CAGR is 20.1%p higher than buy and hold, while drawdown improves by 53.7%p (CAGR 14.8%, MDD -32.6%, exposure 18%).
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 |
|---|---|---|---|---|---|---|---|
| 볼린저 밴드 돌파 n=48, k=2.9 |
18.5% | -33.5% | 0.65 | 0.55 | 6.4x | 18 | 18% |
| ADX / DI 방향성 period=32, threshold=21 |
14.8% | -32.6% | 0.62 | 0.45 | 4.5x | 24 | 18% |
| SMA 크로스오버 fast=52, slow=74 |
17.3% | -77.5% | 0.55 | 0.22 | 5.8x | 39 | 47% |
| ROC 모멘텀 n=103, threshold=0.06 |
12.4% | -48.7% | 0.48 | 0.25 | 3.6x | 89 | 41% |
| Keltner 채널 돌파 emaPeriod=55, atrPeriod=13, mult=3.5 |
10.5% | -34.7% | 0.45 | 0.30 | 3.0x | 23 | 22% |
| Donchian 채널 돌파 entryN=67, exitN=25 |
9.8% | -49.2% | 0.43 | 0.20 | 2.8x | 27 | 29% |
| EMA 크로스오버 fast=34, slow=48 |
9.6% | -73.7% | 0.42 | 0.13 | 2.7x | 27 | 46% |
| MACD fast=9, slow=57, signal=15 |
7.5% | -65.6% | 0.38 | 0.11 | 2.2x | 151 | 53% |
| Supertrend period=29, mult=2.3 |
7.1% | -79.3% | 0.38 | 0.09 | 2.1x | 91 | 47% |
| Parabolic SAR step=0.035, maxStep=0.3 |
2.4% | -71.4% | 0.28 | 0.03 | 1.3x | 341 | 48% |
| Buy and hold | -1.6% | -87.2% | 0.33 | -0.02 | 0.8x | 1 | 100% |
Rules of the top strategy
Breaking above the upper band (average plus a multiple of volatility) signals a strong move up.
- Buy — Buy when the close breaks above the upper band of the 48-day average (2.9× volatility)
- Sell — Sell when the close falls back to the 48-day middle average