Trend-Following Backtester · Guide · backtest 한국어
equity · US
Tarsus Pharmaceuticals, Inc. backtest
10 trend-following strategies were compared on the full daily history of Tarsus Pharmaceuticals, Inc.. 1 beat buy-and-hold CAGR; Donchian 채널 돌파 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is Donchian 채널 돌파 (CAGR 18.9%, MDD -36.4%).
Results by strategy
1 of 10 beat buy and hold (CAGR 19.9%, drawdown -77.7%).
Sharpe leader (same as main): Donchian 채널 돌파 — CAGR 18.9%, MDD -36.4%, Sharpe 0.74, 26% exposure.
CAGR reference leader: Supertrend — CAGR 24.0%, MDD -51.5%, exposure 46%.
Return/drawdown alternative: Donchian 채널 돌파 — CAGR is 0.9%p lower than buy and hold, while drawdown improves by 41.3%p (CAGR 18.9%, MDD -36.4%, exposure 26%).
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=73, exitN=25 |
18.9% | -36.4% | 0.74 | 0.52 | 2.7x | 8 | 26% |
| Keltner 채널 돌파 emaPeriod=51, atrPeriod=28, mult=3.3 |
17.7% | -30.5% | 0.73 | 0.58 | 2.6x | 10 | 20% |
| Supertrend period=29, mult=1.7 |
24.0% | -51.5% | 0.72 | 0.47 | 3.5x | 64 | 46% |
| Parabolic SAR step=0.03, maxStep=0.14 |
15.9% | -66.8% | 0.55 | 0.24 | 2.3x | 145 | 51% |
| 볼린저 밴드 돌파 n=53, k=1.9 |
12.5% | -52.8% | 0.53 | 0.24 | 2.0x | 18 | 28% |
| EMA 크로스오버 fast=24, slow=32 |
13.4% | -62.4% | 0.51 | 0.21 | 2.1x | 30 | 49% |
| SMA 크로스오버 fast=14, slow=88 |
12.5% | -52.6% | 0.51 | 0.24 | 2.0x | 18 | 41% |
| ADX / DI 방향성 period=12, threshold=38 |
7.4% | -29.4% | 0.47 | 0.25 | 1.5x | 16 | 11% |
| ROC 모멘텀 n=112, threshold=0.05 |
7.1% | -40.1% | 0.37 | 0.18 | 1.5x | 44 | 41% |
| MACD fast=19, slow=23, signal=16 |
-0.3% | -60.2% | 0.23 | -0.00 | 1.0x | 78 | 50% |
| Buy and hold | 19.9% | -77.7% | 0.60 | 0.26 | 2.9x | 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 73 days
- Sell — Sell when price breaks below the lowest low of the last 25 days