Trend-Following Backtester · Guide · backtest 한국어
equity · US
Shattuck Labs, Inc. backtest
10 trend-following strategies were compared on the full daily history of Shattuck Labs, Inc.. 10 beat buy-and-hold CAGR; Donchian 채널 돌파 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is Keltner 채널 돌파 (CAGR 23.4%, MDD -20.8%).
Results by strategy
10 of 10 beat buy and hold (CAGR -15.9%, drawdown -98.7%).
Sharpe leader (same as main): Donchian 채널 돌파 — CAGR 34.3%, MDD -31.7%, Sharpe 0.93, 17% exposure.
CAGR reference leader: 볼린저 밴드 돌파 — CAGR 52.9%, MDD -46.9%, exposure 22%.
Return/drawdown alternative: Keltner 채널 돌파 — CAGR is 50.2%p higher than buy and hold, while drawdown improves by 67.1%p (CAGR 23.4%, MDD -20.8%, 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=114, exitN=23 |
34.3% | -31.7% | 0.93 | 1.08 | 5.7x | 6 | 17% |
| 볼린저 밴드 돌파 n=35, k=1.9 |
52.9% | -46.9% | 0.85 | 1.13 | 12.2x | 24 | 22% |
| EMA 크로스오버 fast=18, slow=45 |
50.3% | -61.2% | 0.82 | 0.82 | 11.1x | 17 | 36% |
| SMA 크로스오버 fast=14, slow=60 |
49.7% | -55.5% | 0.82 | 0.90 | 10.8x | 23 | 36% |
| Keltner 채널 돌파 emaPeriod=16, atrPeriod=10, mult=3.3 |
23.4% | -20.8% | 0.81 | 1.12 | 3.5x | 8 | 9% |
| Supertrend period=25, mult=3.2 |
46.3% | -72.8% | 0.79 | 0.64 | 9.4x | 21 | 32% |
| ROC 모멘텀 n=87, threshold=0.23 |
31.2% | -43.0% | 0.79 | 0.73 | 4.9x | 24 | 26% |
| ADX / DI 방향성 period=15, threshold=15 |
36.3% | -80.0% | 0.71 | 0.45 | 6.2x | 82 | 43% |
| Parabolic SAR step=0.005, maxStep=0.38 |
30.7% | -77.2% | 0.66 | 0.40 | 4.9x | 50 | 38% |
| MACD fast=17, slow=56, signal=8 |
18.6% | -86.9% | 0.57 | 0.21 | 2.7x | 60 | 55% |
| Buy and hold | -15.9% | -98.7% | 0.35 | -0.16 | 0.4x | 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 114 days
- Sell — Sell when price breaks below the lowest low of the last 23 days