Trend-Following Backtester · Guide · backtest 한국어
equity · US
Intellia Therapeutics, Inc. backtest
10 trend-following strategies were compared on the full daily history of Intellia Therapeutics, Inc.. 7 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 2.8%, MDD -30.6%).
Results by strategy
7 of 10 beat buy and hold (CAGR -5.2%, drawdown -96.4%).
Sharpe leader (same as main): Donchian 채널 돌파 — CAGR 12.6%, MDD -53.4%, Sharpe 0.52, 10% exposure.
CAGR reference leader: ROC 모멘텀 — CAGR 14.0%, MDD -73.3%, exposure 43%.
Return/drawdown alternative: ADX / DI 방향성 — CAGR is 17.9%p higher than buy and hold, while drawdown improves by 43.1%p (CAGR 2.8%, MDD -30.6%, exposure 2%).
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=81, exitN=8 |
12.6% | -53.4% | 0.52 | 0.24 | 3.4x | 20 | 10% |
| ROC 모멘텀 n=123, threshold=0 |
14.0% | -73.3% | 0.51 | 0.19 | 3.9x | 82 | 43% |
| SMA 크로스오버 fast=16, slow=24 |
12.1% | -91.1% | 0.48 | 0.13 | 3.2x | 131 | 49% |
| EMA 크로스오버 fast=48, slow=142 |
11.5% | -75.4% | 0.47 | 0.15 | 3.1x | 12 | 36% |
| 볼린저 밴드 돌파 n=46, k=3 |
8.1% | -55.0% | 0.41 | 0.15 | 2.2x | 20 | 16% |
| Keltner 채널 돌파 emaPeriod=18, atrPeriod=21, mult=3.2 |
5.5% | -54.1% | 0.35 | 0.10 | 1.7x | 12 | 5% |
| ADX / DI 방향성 period=31, threshold=35 |
2.8% | -30.6% | 0.29 | 0.09 | 1.3x | 2 | 2% |
| MACD fast=19, slow=47, signal=14 |
-7.3% | -96.9% | 0.17 | -0.08 | 0.5x | 125 | 51% |
| Supertrend period=11, mult=2.5 |
-8.4% | -94.6% | 0.11 | -0.09 | 0.4x | 93 | 45% |
| Parabolic SAR step=0.04, maxStep=0.34 |
-12.9% | -87.7% | 0.04 | -0.15 | 0.2x | 349 | 47% |
| Buy and hold | -5.2% | -96.4% | 0.32 | -0.05 | 0.6x | 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 81 days
- Sell — Sell when price breaks below the lowest low of the last 8 days