Trend-Following Backtester · Guide · backtest 한국어
equity · US
Relay Therapeutics, Inc. backtest
10 trend-following strategies were compared on the full daily history of Relay Therapeutics, Inc.. 10 beat buy-and-hold CAGR; EMA 크로스오버 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is ADX / DI 방향성 (CAGR 24.7%, MDD -28.2%).
Results by strategy
10 of 10 beat buy and hold (CAGR -10.1%, drawdown -96.7%).
Sharpe leader (same as main): EMA 크로스오버 — CAGR 26.7%, MDD -28.2%, Sharpe 0.99, 16% exposure.
CAGR reference leader: SMA 크로스오버 — CAGR 27.1%, MDD -28.2%, exposure 18%.
Return/drawdown alternative: ADX / DI 방향성 — CAGR is 36.8%p higher than buy and hold, while drawdown improves by 68.6%p (CAGR 24.7%, MDD -28.2%, exposure 17%).
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 |
|---|---|---|---|---|---|---|---|
| EMA 크로스오버 fast=45, slow=161 |
26.7% | -28.2% | 0.99 | 0.95 | 4.3x | 3 | 16% |
| SMA 크로스오버 fast=37, slow=210 |
27.1% | -28.2% | 0.96 | 0.96 | 4.4x | 5 | 18% |
| ADX / DI 방향성 period=38, threshold=23 |
24.7% | -28.2% | 0.92 | 0.88 | 3.9x | 3 | 17% |
| Donchian 채널 돌파 entryN=94, exitN=31 |
14.5% | -50.2% | 0.60 | 0.29 | 2.3x | 5 | 19% |
| ROC 모멘텀 n=146, threshold=0.12 |
14.1% | -53.7% | 0.56 | 0.26 | 2.2x | 27 | 18% |
| MACD fast=14, slow=34, signal=10 |
4.2% | -73.8% | 0.35 | 0.06 | 1.3x | 94 | 50% |
| Supertrend period=25, mult=3.2 |
3.7% | -78.8% | 0.32 | 0.05 | 1.2x | 29 | 47% |
| Keltner 채널 돌파 emaPeriod=64, atrPeriod=16, mult=2.1 |
3.9% | -75.8% | 0.29 | 0.05 | 1.3x | 21 | 27% |
| 볼린저 밴드 돌파 n=36, k=3.2 |
3.3% | -31.8% | 0.26 | 0.10 | 1.2x | 6 | 5% |
| Parabolic SAR step=0.025, maxStep=0.38 |
-8.4% | -87.1% | 0.09 | -0.10 | 0.6x | 154 | 48% |
| Buy and hold | -10.1% | -96.7% | 0.24 | -0.10 | 0.5x | 1 | 100% |
Rules of the top strategy
Uses two exponential averages (more weight on recent prices) and trades their crossover.
- Buy — Buy when the 45-day EMA crosses above the 161-day EMA
- Sell — Sell when the 45-day EMA falls below the 161-day EMA