Trend-Following Backtester · Guide · backtest 한국어
equity · US
Scholar Rock Holding Corporation backtest
10 trend-following strategies were compared on the full daily history of Scholar Rock Holding Corporation. 2 beat buy-and-hold CAGR; Keltner 채널 돌파 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is ROC 모멘텀 (CAGR 25.4%, MDD -70.1%).
Results by strategy
2 of 10 beat buy and hold (CAGR 17.4%, drawdown -93.1%).
Sharpe leader (same as main): Keltner 채널 돌파 — CAGR 12.8%, MDD -42.1%, Sharpe 0.55, 10% exposure.
CAGR reference leader: SMA 크로스오버 — CAGR 34.8%, MDD -72.7%, exposure 51%.
Return/drawdown alternative: ROC 모멘텀 — CAGR is 4.6%p lower than buy and hold, while drawdown improves by 51.0%p (CAGR 25.4%, MDD -70.1%, exposure 51%).
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 |
|---|---|---|---|---|---|---|---|
| Keltner 채널 돌파 emaPeriod=40, atrPeriod=15, mult=4 |
12.8% | -42.1% | 0.55 | 0.30 | 2.7x | 6 | 10% |
| SMA 크로스오버 fast=59, slow=64 |
34.8% | -72.7% | 0.52 | 0.48 | 11.8x | 57 | 51% |
| ROC 모멘텀 n=66, threshold=-0.04 |
25.4% | -70.1% | 0.48 | 0.36 | 6.5x | 99 | 51% |
| 볼린저 밴드 돌파 n=39, k=3.5 |
10.2% | -41.0% | 0.46 | 0.25 | 2.2x | 10 | 11% |
| ADX / DI 방향성 period=25, threshold=23 |
9.6% | -46.2% | 0.43 | 0.21 | 2.1x | 14 | 15% |
| EMA 크로스오버 fast=60, slow=287 |
9.1% | -78.0% | 0.40 | 0.12 | 2.1x | 9 | 46% |
| Donchian 채널 돌파 entryN=30, exitN=56 |
4.8% | -72.6% | 0.39 | 0.07 | 1.5x | 23 | 63% |
| Supertrend period=10, mult=3.7 |
-5.7% | -72.8% | 0.18 | -0.08 | 0.6x | 39 | 48% |
| Parabolic SAR step=0.055, maxStep=0.32 |
-5.8% | -79.9% | 0.17 | -0.07 | 0.6x | 330 | 46% |
| MACD fast=13, slow=37, signal=19 |
-12.2% | -86.8% | 0.07 | -0.14 | 0.3x | 111 | 49% |
| Buy and hold | 17.4% | -93.1% | 0.51 | 0.19 | 3.8x | 1 | 100% |
Rules of the top strategy
Breaking above the channel top (average plus a multiple of volatility) signals an upside breakout.
- Buy — Buy when the close breaks above the 40-day average + 4× volatility (Keltner top)
- Sell — Sell when the close falls back to the 40-day average