Trend-Following Backtester · Guide · backtest 한국어
equity · US
Tango Therapeutics, Inc. backtest
10 trend-following strategies were compared on the full daily history of Tango Therapeutics, Inc.. 10 beat buy-and-hold CAGR; Donchian 채널 돌파 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is Supertrend (CAGR 51.3%, MDD -41.5%).
Results by strategy
10 of 10 beat buy and hold (CAGR 17.9%, drawdown -93.6%).
Sharpe leader (same as main): Donchian 채널 돌파 — CAGR 82.2%, MDD -48.8%, Sharpe 1.12, 50% exposure.
Return/drawdown alternative: Supertrend — CAGR is 64.3%p higher than buy and hold, while drawdown improves by 44.9%p (CAGR 51.3%, MDD -41.5%, exposure 44%).
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=25, exitN=32 |
82.2% | -48.8% | 1.12 | 1.69 | 34.6x | 13 | 50% |
| ROC 모멘텀 n=62, threshold=-0.02 |
74.0% | -49.8% | 1.06 | 1.49 | 26.4x | 43 | 51% |
| ADX / DI 방향성 period=48, threshold=15 |
56.6% | -49.2% | 1.04 | 1.15 | 14.1x | 11 | 49% |
| Supertrend period=26, mult=3.8 |
51.3% | -41.5% | 1.04 | 1.23 | 11.5x | 17 | 44% |
| EMA 크로스오버 fast=28, slow=30 |
53.5% | -50.3% | 1.00 | 1.06 | 12.6x | 17 | 48% |
| Keltner 채널 돌파 emaPeriod=61, atrPeriod=13, mult=0.9 |
56.0% | -50.9% | 0.93 | 1.10 | 13.8x | 32 | 41% |
| 볼린저 밴드 돌파 n=28, k=3.1 |
30.6% | -43.4% | 0.87 | 0.71 | 4.8x | 20 | 21% |
| SMA 크로스오버 fast=19, slow=66 |
41.3% | -54.5% | 0.87 | 0.76 | 7.7x | 17 | 45% |
| Parabolic SAR step=0.035, maxStep=0.16 |
43.0% | -60.5% | 0.79 | 0.71 | 8.3x | 166 | 48% |
| MACD fast=10, slow=23, signal=9 |
18.2% | -79.2% | 0.54 | 0.23 | 2.7x | 118 | 48% |
| Buy and hold | 17.9% | -93.6% | 0.60 | 0.19 | 2.6x | 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 25 days
- Sell — Sell when price breaks below the lowest low of the last 32 days