Trend-Following Backtester · Guide · backtest 한국어
equity · US
Q32 Bio Inc. backtest
10 trend-following strategies were compared on the full daily history of Q32 Bio Inc.. 10 beat buy-and-hold CAGR; ROC 모멘텀 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is ADX / DI 방향성 (CAGR 12.6%, MDD -38.2%).
Results by strategy
10 of 10 beat buy and hold (CAGR -31.0%, drawdown -99.8%).
Sharpe leader (same as main): ROC 모멘텀 — CAGR 19.5%, MDD -69.2%, Sharpe 0.54, 23% exposure.
Return/drawdown alternative: ADX / DI 방향성 — CAGR is 50.5%p higher than buy and hold, while drawdown improves by 30.6%p (CAGR 12.6%, MDD -38.2%, exposure 12%).
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 |
|---|---|---|---|---|---|---|---|
| ROC 모멘텀 n=136, threshold=0.12 |
19.5% | -69.2% | 0.54 | 0.28 | 4.5x | 37 | 23% |
| ADX / DI 방향성 period=33, threshold=26 |
12.6% | -38.2% | 0.45 | 0.33 | 2.7x | 7 | 12% |
| SMA 크로스오버 fast=19, slow=157 |
10.8% | -86.4% | 0.44 | 0.12 | 2.4x | 19 | 33% |
| Donchian 채널 돌파 entryN=89, exitN=39 |
9.1% | -80.1% | 0.41 | 0.11 | 2.1x | 11 | 29% |
| EMA 크로스오버 fast=29, slow=146 |
10.1% | -74.1% | 0.41 | 0.14 | 2.2x | 13 | 25% |
| Parabolic SAR step=0.025, maxStep=0.14 |
-0.6% | -93.5% | 0.33 | -0.01 | 0.9x | 179 | 46% |
| MACD fast=18, slow=59, signal=18 |
-5.2% | -90.8% | 0.29 | -0.06 | 0.6x | 74 | 54% |
| Keltner 채널 돌파 emaPeriod=52, atrPeriod=8, mult=1.8 |
-1.5% | -81.3% | 0.25 | -0.02 | 0.9x | 41 | 28% |
| Supertrend period=8, mult=2.1 |
-6.7% | -85.0% | 0.24 | -0.08 | 0.6x | 81 | 45% |
| 볼린저 밴드 돌파 n=41, k=2 |
-7.7% | -86.3% | 0.16 | -0.09 | 0.5x | 46 | 30% |
| Buy and hold | -31.0% | -99.8% | 0.18 | -0.31 | 0.0x | 1 | 100% |
Rules of the top strategy
Rides the trend when recent return (momentum) over a window is above a threshold.
- Buy — Buy when the last 136-day return is greater than 12%
- Sell — Sell when the 136-day return drops to 12% or below