Trend-Following Backtester · Guide · backtest 한국어
equity · US
Stoke Therapeutics, Inc. backtest
10 trend-following strategies were compared on the full daily history of Stoke Therapeutics, Inc.. 9 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 13.5%, MDD -27.1%).
Results by strategy
9 of 10 beat buy and hold (CAGR 2.7%, drawdown -95.2%).
Sharpe leader (same as main): Donchian 채널 돌파 — CAGR 29.1%, MDD -41.1%, Sharpe 0.77, 26% exposure.
Return/drawdown alternative: ADX / DI 방향성 — CAGR is 26.4%p higher than buy and hold, while drawdown improves by 54.1%p (CAGR 13.5%, MDD -27.1%, exposure 9%).
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=112, exitN=29 |
29.1% | -41.1% | 0.77 | 0.71 | 6.3x | 8 | 26% |
| ADX / DI 방향성 period=19, threshold=31 |
13.5% | -27.1% | 0.67 | 0.50 | 2.5x | 12 | 9% |
| 볼린저 밴드 돌파 n=43, k=1.8 |
23.4% | -55.2% | 0.65 | 0.42 | 4.5x | 28 | 32% |
| EMA 크로스오버 fast=22, slow=186 |
20.3% | -64.0% | 0.61 | 0.32 | 3.8x | 9 | 40% |
| SMA 크로스오버 fast=39, slow=142 |
19.6% | -82.8% | 0.59 | 0.24 | 3.6x | 12 | 39% |
| Supertrend period=15, mult=2.4 |
18.0% | -59.1% | 0.57 | 0.30 | 3.3x | 57 | 48% |
| ROC 모멘텀 n=88, threshold=0 |
15.4% | -73.1% | 0.52 | 0.21 | 2.8x | 72 | 43% |
| Parabolic SAR step=0.025, maxStep=0.38 |
8.8% | -63.9% | 0.42 | 0.14 | 1.8x | 199 | 50% |
| Keltner 채널 돌파 emaPeriod=34, atrPeriod=25, mult=3.4 |
7.8% | -55.9% | 0.38 | 0.14 | 1.7x | 16 | 17% |
| MACD fast=14, slow=52, signal=14 |
-4.2% | -73.4% | 0.18 | -0.06 | 0.7x | 97 | 52% |
| Buy and hold | 2.7% | -95.2% | 0.42 | 0.03 | 1.2x | 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 112 days
- Sell — Sell when price breaks below the lowest low of the last 29 days